How to do IV quantile regression with panel data?

[Spacey Shi]

I have no threads and don't know what to do.
Is there any do-files available?

[Joao Santos Silva]

Dear Spacey,

I do not think that is implemented in Stata. If you implement it, please make the code available.

Best wishes,

Joao

[Spacey Shi]

Dear Spacey,

I do not think that is implemented in Stata. If you implement it, please make the code available.

Best wishes,

Joao

I'm new to Stata,so this can't be achieved in Stata?
And what kind of quantile regression can be implemented in Stata?
Thanks.

[River Huang]

(ssc install) cqiv can be applied to estimate (censored or uncensored) IV quantile regressions (not directly for panel data, though). For panel data, I am not sure whether it is a good idea to include dummies for individual-specific effects (especially the dimension is too large) in the regressions by using cqiv.

[Spacey Shi]

(ssc install) cqiv can be applied to estimate (censored or uncensored) IV quantile regressions (not directly for panel data, though). For panel data, I am not sure whether it is a good idea to include dummies for individual-specific effects (especially the dimension is too large) in the regressions by using cqiv.

Thanks for the reply.
Maybe I should give up using panel data, and can I ask for some advice of using quantile regression method? The theme I researched is about the effect of family factors on the quality of children, the dependent variable is standardized height and education attainment of children, the independent variables are the number of children in a family, the income of household and some other control variables, the IV I choose mother's birth year and some other ratios which can measure the differences of the one-child policy. I want to do quantile regression ,wish some good advice, thanks!

[River Huang]

Thanks for the reply.
Maybe I should give up using panel data, and can I ask for some advice of using quantile regression method? The theme I researched is about the effect of family factors on the quality of children, the dependent variable is standardized height and education attainment of children, the independent variables are the number of children in a family, the income of household and some other control variables, the IV I choose mother's birth year and some other ratios which can measure the differences of the one-child policy. I want to do quantile regression ,wish some good advice, thanks!

So, what kind of advice do you need?

[Spacey Shi]

So, what kind of advice do you need?

How to do quantile regression in this situation using Stata?

[River Huang]

How to do quantile regression in this situation using Stata?

What kind of models do you have in mind. You can use "qreg" to estimate standard quantile regressions and "cqiv" (please ssc install cqiv first) to estimate quantile regressions with endogeneity. Please help qreg/cqiv and follow the examples therein.

[Joao Santos Silva]

River Huang: thanks for reminding me of cqiv

[River Huang]

River Huang: thanks for reminding me of cqiv

Dear Joao, No problem at all. In fact, I am a frequent visitor of your website.

[Huyi yan]

Hi all,

I’m looking for the latest code or references on IV quantile regression with panel data. Any guidance on Stata implementations, especially dealing with endogeneity and fixed effects, would be greatly appreciated!

Thanks!

Yifan