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Smoothed instrumental variables quantile regression

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  • David M. Kaplan

Abstract

In this article, I introduce the sivqr command, which estimates the coefficients of the instrumental variables (IV) quantile regression model introduced by Chernozhukov and Hansen (2005). The sivqr command offers several advantages over the existing ivqreg and ivqreg2 commands for estimating this IV quantile regression model, which complements the alternative "triangular model" behind cqiv and the "local quantile treatment effect" model of ivqte. Computationally, sivqr implements the smoothed estimator of Kaplan and Sun (2017), who show that smoothing improves both computation time and statistical accuracy. Standard errors are computed analytically or by Bayesian bootstrap; for non-iid sampling, sivqr is compatible with bootstrap. I discuss syntax and the underlying methodology, and I compare sivqr with other commands in an example.

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  • David M. Kaplan, 2023. "Smoothed instrumental variables quantile regression," Papers 2310.09013, arXiv.org.
  • Handle: RePEc:arx:papers:2310.09013
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    1. de Castro, Luciano & Galvao, Antonio F. & Kaplan, David M. & Liu, Xin, 2019. "Smoothed GMM for quantile models," Journal of Econometrics, Elsevier, vol. 213(1), pages 121-144.
    2. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-475, March.
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    4. Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta, 2021. "Smoothing Quantile Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 338-357, January.
    5. de Castro, Luciano & Galvao, Antonio F. & Kaplan, David M. & Liu, Xin, 2019. "Smoothed GMM for quantile models," Journal of Econometrics, Elsevier, vol. 213(1), pages 121-144.
    6. Kaplan, David M. & Sun, Yixiao, 2017. "Smoothed Estimating Equations For Instrumental Variables Quantile Regression," Econometric Theory, Cambridge University Press, vol. 33(1), pages 105-157, February.
    7. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    8. Markus Frolich & Blaise Melly, 2010. "Estimation of quantile treatment effects with Stata," Stata Journal, StataCorp LP, vol. 10(3), pages 423-457, September.
    9. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009. "Finite sample inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 152(2), pages 93-103, October.
    10. Lee, Sokbae, 2007. "Endogeneity in quantile regression models: A control function approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1131-1158, December.
    11. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
    12. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2019. "On uniform asymptotic risk of averaging GMM estimators," Quantitative Economics, Econometric Society, vol. 10(3), pages 931-979, July.
    13. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, January.
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