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Censored Quantile Instrumental Variable Estimation with Stata

Victor Chernozhukov, Iván Fernández-Val, Sukjin Han, Amanda Kowalski

NBER Working Paper No. 24232
Issued in January 2018
NBER Program(s):Program on the Economics of Aging, Health Care Program, Technical Working Papers

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.

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Document Object Identifier (DOI): 10.3386/w24232

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