Semiparametric instrumental variable estimation in an endogenous treatment model

Arbeitspapier

We propose instrumental variable(IV) estimators for quantile marginal effects and the parameters upon which they depend in a semiparametric outcome model with endogenous discrete treatment variables. We prove identification, consistency, and asymptotic normality of the estimators. We also show that they are efficient under correct model specification. Further, we show that they are robust to misspecification of the treatment model in that consistency and asymptotic normality continue to hold in this case. In the Monte Carlo study, the estimators perform well over diverse designs covering both correct and incorrect treatment model specifications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2015-11

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
• Subject: semiparametric estimation ; marginal effects ; efficiency ; robustness

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Klein, Roger ; Shen, Chan
• Event: Veröffentlichung
• (who): Rutgers University, Department of Economics
• (where): New Brunswick, NJ
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/130736
• Last update: 10.03.2025, 11:44 AM CET