alessia matano <[email protected]>:
I don't believe your approach produces consistent point estimates, nor
good interval estimates. There is no canned program for QR with
endogenous variables, that I know of, but GMM and other optimization
problems are now easy to program yourself in Mata (I think Kit Baum's
forthcoming book will provide examples). See e.g.
Victor Chernozhukov and Christian Hansen
Instrumental quantile regression inference for structural and
treatment effect models
Journal of Econometrics, Volume 132, Issue 2, June 2006, Pages 491-525
Victor Chernozhukov, Christian Hansen, Michael Jansson
Inference approaches for instrumental variable quantile regression
Economics Letters, Volume 95, Issue 2, May 2007, Pages 272-277
http://www.econ.berkeley.edu/~mjansson/Papers/ChernozhukovHansenJansson07.pdf
Sokbae Lee
Endogeneity in quantile regression models: A control function approach
Journal of Econometrics, Volume 141, Issue 2, December 2007, Pages 1131-1158
Victor Chernozhukov and Christian Hansen
Instrumental variable quantile regression: A robust inference approach
Journal of Econometrics, Volume 142, Issue 1, January 2008, Pages 379-398
On Thu, May 22, 2008 at 6:40 AM, alessia matano <[email protected]> wrote:
> Dear all,
>
> I would like to know if there is any way to perform IV quantile
> estimations with stata. I know that in same case it was used to run a
> first stage OLS regression and then, taking the fitted values, perform
> the quantile one. However I know that it needs the standard error to
> be adjusted and that probably, right now, it is not the best way to
> perform such an estimation.
> Can you suggest me something? Do you know if someone have developed a
> proper sintax for stata?
>
> Thank you
> alessia
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