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NPIV: Stata module to perform Nonparametric instrumental-variable regression on a scalar endogenous regressor

Author

Listed:
  • Denis Chetverikov

    (UCLA)

  • Dongwoo Kim

    (University College London)

  • Daniel Wilhelm

    (University College London)

Programming Language

Stata

Abstract

This package implements nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands "npiv" and "npivcv" are able to impose monotonicity of the estimated function. The use of such a shape restriction may significantly improve the performance of the NPIV estimator (Chetverikov and Wilhelm 2017). This is because the ill-posedness of the NPIV estimation problem leads to unconstrained estimators that suffer from particularly poor statistical properties such as very high variance. The constrained estimator that imposes the monotonicity, on the other hand, significantly reduces variance by removing oscillations of the estimator that is nonmonotone.

Suggested Citation

  • Denis Chetverikov & Dongwoo Kim & Daniel Wilhelm, 2019. "NPIV: Stata module to perform Nonparametric instrumental-variable regression on a scalar endogenous regressor," Statistical Software Components S458626, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458626
    Note: This module should be installed from within Stata by typing "ssc install npiv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/n/npiv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/n/npiv.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/n/npivcv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/n/npivcv.sthlp
    File Function: help file
    Download Restriction: no
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