A comparison of two qantile models with endogeneity

Arbeitspapier

This paper analyzes estimators based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006) under the local quantile treatment effects (LQTE) framework (Abadie et al., 2002). I show that the quantile treatment effect (QTE) estimators in the IVQR model are equivalent to LQTE for the compliers at transformed quantile levels. This transformation adjusts for differences between the subpopulation-specific potential outcome distributions that are identified in the LQTE model. Moreover, the IVQR estimator of the average treatment effect (ATE) corresponds to a convex combination of the local average treatment effect (LATE) and a weighted average of LQTE for the compliers. I extend the analysis to more general setups that allow for partial failures of the LQTE assumptions, non-binary instruments, and covariates. The results are illustrated with two empirical applications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 14-08

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
• Subject: endogeneity ; instrumental variables ; quantile treatment effect ; local quantile treatment effect ; average treatment effect ; local average treatment effect ; rank similarity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wüthrich, Kaspar
• Event: Veröffentlichung
• (who): University of Bern, Department of Economics
• (where): Bern
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/126619
• Last update: 10.03.2025, 11:41 AM CET