Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.

# st: Endogeneity in quantile regression

 From xueliansharon To statalist@hsphsun2.harvard.edu Subject st: Endogeneity in quantile regression Date Mon, 5 Jul 2010 07:40:37 -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, after that I bootstrap the whole program to correct for the
standard errors.  But I get an error message "Convergence not achieved". So
can anybody help me to figure out the mistakes in my codes? Many thanks.

My codes:

sysuse auto, clear
program qregivb, eclass
version 11.1

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

// Stage 2
foreach q of numlist 10 20 30 {
qreg mpg foreign `pricehat', quantile (`q')

matrix b`q'=e(b)
matrix colnames b`q'=q`q':
matrix b=nullmat(b), b`q'
}
gen e=e(sample)
qui count if e
eret post b, dep(sch) es(e) obs(`r(N)')
ereturn local cmd "schrural19"
ereturn local properties "b"

end

bootstrap _b , reps(1000) seed(10101) nodots: qregivb

Regards,
Sharon
--
View this message in context: http://statalist.1588530.n2.nabble.com/Endogeneity-in-quantile-regression-tp5256322p5256322.html
Sent from the Statalist mailing list archive at Nabble.com.
*
*   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/
```