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Re: st: quantile regression and endogenous variables

From   jean ries <>
Subject   Re: st: quantile regression and endogenous variables
Date   Tue, 14 Sep 2004 14:52:29 +0200


As far as your first question is concerned, there are some papers that discuss endogeneity in quantile regressions. A fairly recent one is:

Sokbae Lee, 2004, Endogeneity in quantile regression models: a control function approach, CEMMAP WP 08/04.

downloadable here:

As it seems, the method suggested in this paper can be implemented using the Stata commands for quantile regression. Moreover, Lee also discusses some related methods. Thus, it could be a good starting point for you.

Hope this helps?


At 14:10 14/09/2004, you wrote:

Dear All,

using individual data (cross section) I want to run a quantile regression (qreg, sqreg.) on the 0.1, 0.25, etc. percentile of the conditional distribution. Unfortunately, I suspect that one or two determinants (X) are endogenous.
Does anybody of the specialists here know a way to handle this problem ( theoretically and particularly using sqreg / Stata commands)?

Furthermore, if I estimated OLS I would use the cluster-option as the variables are measured at different levels ( individual, school, region).
Is there an analogon to clustering for quantile regressions or, using this qreg-method, did I not have to 'take into account' different levels ?

Any comments are very welcome.


Justina Fischer
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