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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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