Censored Quantile Instrumental Variable Estimation with Stata
Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov, Fernandez-Val, and Kowalski (2015) introduced a censored quantile instrumental variable estimator (CQIV) for use in those applications, which has been applied by Kowalski (2016), among others. In this article, we introduce a Stata command, cqiv, that simplifes application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, we describe the use of the cqiv command, and we provide empirical examples.
Document Object Identifier (DOI): 10.3386/w24232
Published: Victor Chernozhukov & Ivan Fernández-Val & Sukjin Han & Amanda Kowalski, 2019. "Censored quantile instrumental-variable estimation with Stata," The Stata Journal: Promoting communications on statistics and Stata, vol 19(4), pages 768-781. citation courtesy of
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