Document Type
Discussion Paper
Publication Date
2-1-2018
CFDP Number
2120
CFDP Pages
10
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 simplifies 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.
Recommended Citation
Chernozhukov, Victor; Fernández-Val, Iván; Han, Sukjin; and Kowalski, Amanda E., "Censored Quantile Instrumental Variable Estimation with Stata" (2018). Cowles Foundation Discussion Papers. 155.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/155