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st: Doubt about Stata quantile regression code re: endogeneity


From   "Chih-Mao Hsieh" <Hsieh@olin.wustl.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Doubt about Stata quantile regression code re: endogeneity
Date   Fri, 26 Sep 2003 18:02:33 -0500

Dear Statalisters, 

Myself and a co-author are stuck on how to do the programming mentioned
by the Stata econometrician below... I thought this Statalist might
help. Can anybody provide some insight (or better yet, a few lines of
code as a potential guide!) on the dilemma outlined below between *****?


Chihmao. 

----------------------------------------------------- 
Chihmao Hsieh 
John M. Olin School of Business 
Washington University 
Box 1133, One Brookings Drive 
St. Louis, MO 63130 
Email: hsieh@olin.wustl.edu 


-----Mensagem original----- 
Assunto: Re: doubt about Stata quantile regression code 

Dear Sergio, 

***** The easiest way to get standard errors for the 2SLAD model is to 
use the bootstrap. Note that you will want to bootstrap both 
stages of estimation, not just the second stage. Therefore, when 
you use -bootstrap- or -bstrap-, you will need to write a program 
that estimates your entire model. 
A seminal paper in this area is Amemiya (1982, Econometrica). There, 
among other things he shows that even though you use quantile regress- 
ion in the second stage, you should still use OLS in the first stage; 
this is what he calls the 2SLAD model. He also derives the asymptotic 
standard errors for this model, though my guess is that using the 
bootstrap is easier. *****

If you have further questions, do not hesitate to ask. 

Brian P. Poi, Ph.D. 
Statistician, Stata Corporation 

You wrote: 
-----Begin Original Message----- 
Hello: 

***** I need to run quantile regressions with instrumental variable
estimators 
(i.e., I run an OLS regression with a set of instruments and use fitted 
values in the quantile regression). It seems that, to do this, it is 
necessary to adjust the standard errors for finite samples. Is there any

way to do this adapting the current code for the procedure? *****

Thank you, 

Sergio G. Lazzarini

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