IDEAS home Printed from

CQIV: Stata module to perform censored quantile instrumental variables regression


  • Victor Chernozhukov

    () (MIT)

  • Ivan Fernandez-Val

    () (Boston University)

  • Sukjin Han

    () (Yale University)

  • Amanda Kowalski

    () (Yale University)


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.

Suggested Citation

  • Victor Chernozhukov & Ivan Fernandez-Val & Sukjin Han & Amanda Kowalski, 2012. "CQIV: Stata module to perform censored quantile instrumental variables regression," Statistical Software Components S457478, Boston College Department of Economics, revised 25 Sep 2019.
  • Handle: RePEc:boc:bocode:s457478
    Note: This module should be installed from within Stata by typing "ssc install cqiv". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.

    Download full text from publisher

    File URL:
    File Function: program code
    Download Restriction: no

    File URL:
    File Function: help file
    Download Restriction: no

    File URL:
    File Function: sample data file
    Download Restriction: no

    File URL:
    File Function: documentation
    Download Restriction: no


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s457478. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.