CQIV: Stata module to perform censored quantile instrumental variables regression
cqiv conducts censored quantile instrumental variable (CQIV) estimation. This command can implement both censored and uncensored quantile IV estimation either under exogeneity or endogeneity. The estimator proposed by Chernozhukov, Fernandez-Val and Kowalski (2010) is used if CQIV estimation is implemented. A parametric version of the estimator proposed by Lee (2007) is used if quantile IV estimation without censoring is implemented. The estimator proposed by Chernozhukov and Hong (2002) is used if censored quantile regression (CQR) is estimated without endogeneity. Note that all the variables in the parentheses of the syntax are those involved in the first stage estimation of CQIV and QIV.
|Requires:||Stata version 10|
|Date of creation:||21 Jun 2012|
|Date of revision:||21 Dec 2012|
|Note:||This module should be installed from within Stata by typing "ssc install cqiv". Windows users should not attempt to download these files with a web browser.|
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