Chernozhukov, Victor; Fernandez-Val, Ivan; Kowalski, Amanda - Cowles Foundation for Research in Economics, Yale University - 2011
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 … dimensional parameters for the control variable, such as a quantile or distribution regression model. The second stage estimates a …