CQIV: Stata module to perform censored quantile instrumental variables regression
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TL;DR
Cqiv conducts censored quantile instrumental variable (CQIV) estimation and a parametric version of the estimator proposed by Lee (2007) is used if quantile IV estimation without censoring is implemented.
Abstract
cqiv conducts censored quantile instrumental variable (CQIV) estimation. This command can implement both censored and uncensored quantile IV estimation either under exogeneity or endogeneity. The estimator proposed by Chernozhukov, Fernandez-Val and Kowalski (2010) is used if CQIV estimation is implemented. A parametric version of the estimator proposed by Lee (2007) is used if quantile IV estimation without censoring is implemented. The estimator proposed by Chernozhukov and Hong (2002) is used if censored quantile regression (CQR) is estimated without endogeneity. Note that all the variables in the parentheses of the syntax are those involved in the first stage estimation of CQIV and QIV.