Dear All:

Thanks to Kit Baum, ivqreg2 is now available in SSC.

This module estimates the structural quantile functions defined by Chernozhukov and Hansen (2008) using the method of Machado and Santos Silva (forthcoming in the Journal of Econometrics). Note that, unlike the command ivqreg written by Do Won Kwak, ivqreg2 does not implement the estimator proposed by Chernozhukov and Hansen (2008). However, under suitable regularity conditions, it estimates the same parameters.

If no instruments are specified, ivqreg2 estimates the regression quantiles imposing the restriction that quantiles do not cross; see also He (1997).

Please do let me know if you find any problems with the new module or if you have suggestions to improve it.

Joao

References

Chernozhukov, V. and Hansen, C. (2008). "Instrumental Variable Quantile Regression: A Robust Inference Approach," Journal of Econometrics, 142, 379-398.

He, X. (1997). "Quantile Curves Without Crossing," The American Statistician, 51, 186-192.

Machado, J.A.F. and Santos Silva, J.M.C. (2018), Quantiles via Moments, Journal of Econometrics, forthcoming.