Censored Quantile Instrumental Variable Estimation with Stata

12 Pages Posted: 22 Jan 2018 Last revised: 19 Mar 2021

See all articles by Victor Chernozhukov

Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics

Iván Fernández‐Val

Boston University - Department of Economics

Sukjin Han

University of Texas at Austin - Department of Economics

Amanda Kowalski

University of Michigan at Ann Arbor - Department of Economics

Date Written: January 2018

Abstract

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.

Suggested Citation

Chernozhukov, Victor and Fernandez-Val, Ivan and Han, Sukjin and Kowalski, Amanda, Censored Quantile Instrumental Variable Estimation with Stata (January 2018). NBER Working Paper No. w24232, Available at SSRN: https://ssrn.com/abstract=3106673

Victor Chernozhukov (Contact Author)

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

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HOME PAGE: http://www.mit.edu/~vchern/

Ivan Fernandez-Val

Boston University - Department of Economics ( email )

270 Bay State Road
Boston, MA 02215
United States

HOME PAGE: http://people.mit.edu/ivanf

Sukjin Han

University of Texas at Austin - Department of Economics ( email )

Austin, TX 78712
United States

Amanda Kowalski

University of Michigan at Ann Arbor - Department of Economics ( email )

Ann Arbor, MI
United States

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