Victor Chernozhukov, Iván Fernández-Val, Sukjin Han, Amanda Kowalski
arXiv 13 Jan 2018 · Econometrics · publishedThe Stata Journal Promoting communications on statistics and Stata (2019) · 13 citations (OpenAlex)
arXiv:1801.05305 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chernozhukov, V., I. Fernández-Val, and A. E. Kowalski (2015) Quantile regression with censoring and endogeneity self | 1.000 | 21 | 5 | 100% |
| 2 | Chernozhukov, V., and H. Hong (2002) Three-step censored quantile regression and extramarital affairs self | 1.000 | 5 | 3 | 100% |
| 3 | Kowalski, A (2016) Censored Quantile Instrumental Variable Estimates of the Price Elasticity of Expenditure on Medical Care self | 0.644 | 2 | 2 | 100% |
| 4 | Chernozhukov, V., I. Fernández-Val, and B. Melly (2013) Inference on counterfactual distributions self | 0.511 | 2 | 1 | 100% |
| 5 | Koenker, R., and G. Bassett, Jr (1978) Regression quantiles | 0.511 | 2 | 1 | 100% |
| 6 | Blundell, R., X. Chen, and D. Kristensen (2007) Semi-nonparametric IV estimation of shape-invariant Engel curves | 0.405 | 1 | 1 | 100% |
| 7 | Chernozhukov, V., I. Fernández-Val, and A. Galichon (2010) Quantile and probability curves without crossing self | 0.405 | 1 | 1 | 100% |
| 8 | Deaton, A., J. Muellbauer, et al (1980) Economics and consumer behavior | 0.405 | 1 | 1 | 100% |
| 9 | Foresi, S., and F. Peracchi (1995) The conditional distribution of excess returns: An empirical analysis | 0.405 | 1 | 1 | 100% |
| 10 | Gorman, W. M (1959) Separable utility and aggregation | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 11 scored citations.