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Re: st: RE: IV and quantile regression


From   Matteo Cominetta <m.p.cominetta@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu, Austin Nichols <austinnichols@gmail.com>
Subject   Re: st: RE: IV and quantile regression
Date   Wed, 06 Aug 2008 17:45:11 +0100

Dear Austin,
I'm well aware of the limitations of the approach proposed by Sachin
(i.e. inconsistent estimates of the coefficients' s.e.).
I got in touch with Stata's technical support and they suggested to run
the 1st stage manually, obtain the fitted values and then bootstrap the
 (quantile regression) 2nd stage with the fitted values. They also sent
me some examples, which I'm studying at the moment.
I'll forward them and all the material shortly.


Matteo


Quoting Austin Nichols <austinnichols@gmail.com>:

> 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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