Censored Quantile Instrumental Variable Estimation with Stata
Victor Chernozhukov, Iv\'an Fern\'andez-Val, Sukjin Han, Amanda, Kowalski
TL;DR
This paper introduces a Stata command, cqiv, that simplifies the application of the censored quantile instrumental variable estimator (CQIV) for models with censored dependent variables and endogenous regressors, facilitating empirical analysis.
Contribution
The paper presents a new Stata command, cqiv, that makes implementing the CQIV estimator more accessible and easier to use in empirical research.
Findings
The cqiv command streamlines the application of CQIV estimation.
Empirical examples demonstrate its practical utility.
The paper summarizes the CQIV estimator and algorithm.
Abstract
Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (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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