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Re: st: RE: IV and quantile regression


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: IV and quantile regression
Date   Wed, 6 Aug 2008 10:45:31 -0400

Matteo Cominetta and
Sachin Chintawar <sachintalks@gmail.com>:

Usually this naive approach (sticking in a predicted value for the
endog var) gives biased and inconsistent estimates (e.g. when applied
to -probit- or -poisson- or -glm- or what have you).  I believe that
some work has been done on an IV version of quantile regression, but
there is no Stata command that I know of, and there is no consensus in
the literature that I am familiar with on how it should be
implemented. So I don't think it is possible in Stata as of today, but
I would be happy to be proved wrong.

On 8/5/08, Sachin Chintawar <sachintalks@gmail.com> wrote:
> 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: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Matteo Cominetta
> Sent: Thursday, July 31, 2008 12:34 PM
> To: statalist@hsphsun2.harvard.edu
> 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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