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st: Endogeneity in quantile regression


From   xueliansharon <xuelianstata@gmail.com>
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 
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