Arbeitspapier
Quantile regression with censoring and endogeneity
In this paper, we develop a new censored quantile instrumental variable (CQIV)estimator and describe its properties and computation. The CQIV estimator combines Powell(1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in two stages that are nonadditive in the unobservables. The first stage estimates a nonadditive model with infinite dimensional parameters for the control variable, such as a quantile or distribution regression model. The second stage estimates a nonadditive censored quantile regression model for the response variable of interest, including the estimated control variable to deal with endogeneity. For computation, we extend the algorithm for CQR developed by Chernozhukov and Hong (2002) to incorporate the estimation of the control variable. We give generic regularity conditions for asymptotic normality of the CQIV estimator and for the validity of resampling methods to approximate its asymptotic distribution. We verify these conditions for quantile and distribution regression estimation of the control variable. We illustrate the computation and applicability of the CQIV estimator with numerical examples and an empirical application on estimation of Engel curves for alcohol.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP20/11
- Classification
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Wirtschaft
Hypothesis Testing: General
Estimation: General
Semiparametric and Nonparametric Methods: General
- Subject
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Schätztheorie
- Event
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Geistige Schöpfung
- (who)
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Chernozhukov, Victor
Fernandez-Val, Ivan
Kowalski, Amanda
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2011
- DOI
-
doi:10.1920/wp.cem.2011.2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chernozhukov, Victor
- Fernandez-Val, Ivan
- Kowalski, Amanda
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2011
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