NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Sukjin Han

Department of Economics
University of Texas
2225 Speedway, BRB 3.152
Austin, TX 78712

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NBER Working Papers and Publications

January 2018Censored Quantile Instrumental Variable Estimation with Stata
with Victor Chernozhukov, Iván Fernández-Val, Amanda Kowalski: w24232
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.
 
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