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st: quantile regression with IV


From   xueliansharon <xuelianstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: quantile regression with IV
Date   Thu, 1 Jul 2010 16:02:01 -0700 (PDT)

Dear all,

I want to do quantile regression, but I have an endogenous variable, so I
regress the endogenous variable price on IVs in the first stage and get the
predicted value for price, then do quantile regression of mpg on foreign and
pricehat, then I bootstrap the whole program to correct for the standard
errors of the second stage. 

My problem is that the following codes just return the estimates for 0.9
quantile regression, but what I want are the quantile regressions for
quantiles 0.1,0.2,...,0.9 with endogenous variable instrumented and standard
errors corrected. So could anyone help me to point out my mistakes and
provide the correct codes to me?  Many thanks.

The following are my codes:

sysuse auto, clear

	program qregivb
        	version 11.1

        	// Stage 1
        	regress price foreign weight length
       		predict pricehat, xb

        	// Stage 2
        	foreach quant of numlist 0.1 0.2 0.25 0.3 0.4 0.5 0.6 0.7 0.75 0.8
0.9 {
	        qreg mpg foreign pricehat, quantile (`quant')
	        }
	end

	bootstrap qregivb _b, reps(100) 


Best,
Sharon
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