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st: IV Quantile Regression and Test of Equality


From   Francesco Burchi <fburchi@uniroma3.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: IV Quantile Regression and Test of Equality
Date   Tue, 15 Dec 2009 12:05:14 +0100

Dear Statalisters,

I am applying instrumental variable quantile regression due to the
endogeneity of one explanatory variable (endgovar). I am using two
instrumental variables (instrument1 and instrument2).  I have followed the
procedure already highlighted in previous posts, that is:

program IVQRestimates
reg endogvar instrument1 instrument2 X1 X2 X3 X4, robust
predict double IVendogvar, xb
sqreg Y IVendogvar X1 X2 X3 X4, quantiles(10,30,50,70,90)
end 
bootstrap "IVQRestimates" _b, reps(100) dots

Unfortunately, Stata gives me the message "insufficient observations to
compute bootstrap standard errors. no results will be saved"  
I have tried different specifications of the model, but the algorithm still
does not converge. However, when I have included just one of the two
instrumental variables, it finally produced the results. Do you have any
explanation of this? I would be really glad to have suggestions on how to
obtain my results keeping both the instruments.

The other problem is that after using this procedure, Stata does not
recognize the quantiles, thus I cannot automatically run the Wald tests to
test the equality of coefficients across different quantiles. Do you have
any suggestions on this? Or, could you simply tell me how I could compute
the test by hand?

Thanks,
Francesco



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