Working Paper: NBER ID: w24232
Authors: Victor Chernozhukov; Ivan Fernández-Val; Sukjin Han; Amanda Kowalski
Abstract: 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.
Keywords: CQIV; quantile regression; censored data; endogeneity; instrumental variable; control function
JEL Codes: C26; C31; C34
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| CQIV estimator (C36) | price elasticity of medical expenditure (I10) |
| CQIV estimator (C36) | estimation of medical expenditure (H51) |
| control function (E61) | correction for endogeneity (C20) |
| latent variable v (C29) | endogeneity of regressor d (C29) |