Re: st: instrumental variable for quantile regression

["Brian P. Poi" <bpoi@stata.com>]

On Thu, 22 May 2008, alessia matano wrote:

> Dear Austin,
>
> first thanks for your answer. I also found some of these articles to
> read that could be useful, and I will do that. of course. I also found
> out an answer in an old stata faq about the same problem where a guy
> was suggesting the procedure below. What do you think about it?
>
> sysuse auto, clear
>
> 	program bootit
>        	version 8.0
>
>        	// Stage 1
>        	regress price foreign weight length
>       		predict double phat, xb
>
>        	// Stage 2
>        	qreg mpg foreign phat
> 	end
>
> 	bootstrap "bootit" _b, reps(1000) dots
The motivation for this procedure comes from Amemiya (1982, "Two Stage 
Least Absolute Deviations Estimators", Econometrica, 50: 689-712).

In that paper Amemiya considers an entire class of 2SLAD estimators that 
are defined by a parameter q.  The program above corresponds to the 
special case where q=1.  Amemiya proves consistency of the 2SLAD estimator 
under several different assumptions about the distribution of the error 
terms.

   -- Brian Poi
   -- bpoi@stata.com
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