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Re: st: instrumental variable for quantile regression


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: instrumental variable for quantile regression
Date   Thu, 22 May 2008 12:23:11 -0500 (CDT)

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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