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?)