CFDP 2120

Censored Quantile Instrumental Variable Estimation with Stata

Author(s): 

Publication Date: February 2018

Pages: 10

Abstract: 

Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (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 simplifies 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.

Keywords: 

st0001, cqiv, quantile regression, censored data, endogeneity, instrumental variable, control function