Hi
Though I did not find a command for a two stage quantile regression, One way
to go through this problem is to run your first stage regression and use the
predicted values of the first stage in the second stage quantile regression.
I hope this helps. More comments on using such a technique would be useful.
Sachin Chintawar
Research Assistant
Dept. of Agricultural Economics
Louisiana State University
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Matteo Cominetta
Sent: Thursday, July 31, 2008 12:34 PM
To: [email protected]
Subject: st: IV and quantile regression
Dear All,
I need to estimate a quantile regression model in which some
(continuous) regressors are endogenous. Is there a Stata command to
perform a 2SLS procedure in which the second stage is a quantile
regression?
I couldn't find it.
Thanks!
Matteo Cominetta
Sussex University
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