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IVQREG2: Stata module to provide structural quantile function estimation

Author

Listed:
  • J.A.F. Machado

    (Universidade Nova de Lisboa)

  • J.M.C. Santos Silva

    (University of Surrey)

Programming Language

Stata

Abstract

ivqreg2 estimates the structural quantile functions defined by Chernozhukov and Hansen (J. Econometrics, 2008) using the method of Machado and Santos Silva (J. Econometrics, 2018). If no instruments are specified, ivqreg2 estimates the regression quantiles imposing the restriction that quantiles do not cross (see also He, Am. Statistician, 1997).

Suggested Citation

  • J.A.F. Machado & J.M.C. Santos Silva, 2018. "IVQREG2: Stata module to provide structural quantile function estimation," Statistical Software Components S458571, Boston College Department of Economics, revised 06 Mar 2023.
    • Handle: RePEc:boc:bocode:s458571
    Note: This module should be installed from within Stata by typing "ssc install ivqreg2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivqreg2.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivqreg2.sthlp
    File Function: help file
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