Estimation of quantile treatment effects in Stata
The Stata command ivqte
implements four
different estimators: the classical quantile regression estimator of Koenker
and Bassett (1978) extended to heteroskedasticity consistent standard errors,
the instrumental variable (IV) quantile regression estimator of Abadie,
Angrist, and Imbens (2002), the estimator for unconditional QTE proposed by
Firpo (2007), and the IV estimator for unconditional QTE proposed by
Frölich and Melly (2009, “Unconditional
quantile treatment effects under endogeneity”). This command also provides
analytical standard errors and various options for nonparametric estimation. As
a by-product, the command locreg
implements local linear and local logit estimators for mixed data (continuous,
ordered discrete, unordered discrete and binary regressors).
The easiest way to install the commands is to type
net install ivqte,
from("http://www.econ.brown.edu/fac/Blaise_Melly/")
on the Stata command prompt.
Alternatively you can download the .ado and .hlp files and copy them in your personal ado directory. (Where is my personal ado directory?)
IVQTE: zip-file containing the ado, hlp and do files
LOCREG: zip-file containing the ado, hlp and do
files