Censored Quantile Instrumental Variable Estimation with Stata

摘要

Many applications involve a censored dependent variable and an endogenousindependent variable. Chernozhukov et al. (2015) introduced a censored quantileinstrumental variable estimator (CQIV) for use in those applications, which hasbeen applied by Kowalski (2016), among others. In this article, we introduce aStata command, cqiv, that simplifes application of the CQIV estimator in Stata.We summarize the CQIV estimator and algorithm, we describe the use of the cqivcommand, and we provide empirical examples.