Unconditional quantile treatment effects under endogeneity

Arbeitspapier

This paper develops IV estimators for unconditional quantile treatment effects (QTE) when the treatment selection is endogenous. In contrast to conditional QTE, i.e. the effects conditional on a large number of covariates X, the unconditional QTE summarize the effects of a treatment for the entire population. They are usually of most interest in policy evaluations because the results can easily be conveyed and summarized. Last but not least, unconditional QTE can be estimated at pn rate without any parametric assumption, which is obviously impossible for conditional QTE (unless all X are discrete). In this paper we extend the Identification of unconditional QTE to endogenous treatments. Identification is based on a monotonicity assumption in the treatment choice equation and is achieved without any functional form restriction. Several types of estimators are proposed: regression, propensity score and weighting estimators. Root n consistency, asymptotic normality and attainment of the semiparametric efficiency bound are shown for our weighting estimator, which is extremely simple to implement. We also show that including covariates in the estimation is not only necessary for consistency when the instrumental variable is itself confounded but also for efficiency when the instrument is valid unconditionally. Monte Carlo simulations and two empirical applications illustrate the use of the proposed estimators.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP32/07

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Estimation: General ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
• Thema: Quantile treatment effects , nonparametric regression , instrumental variables ; Nichtparametrisches Verfahren ; Instrumentalvariablen-Schätzmethode ; Maßzahl ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Frölich, Markus ; Melly, Blaise
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2007

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2007.3207
• Handle: http://hdl.handle.net/10419/79345
• Letzte Aktualisierung: 20.09.2024, 08:20 MESZ