Arbeitspapier
Semiparametric estimation of quantile treatment effects with endogeneity
This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions derived from the IVQR moment conditions. These estimators do not rely on separability of the structural quantile function, while retaining computational tractability and root-n-consistency. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are provided. I apply my method to reanalyze the effect of 401(k) plans on individual savings behavior.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 15-09
Klassifikation
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
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
Thema
instrumental variables
quantile treatment effects
distribution regression
functional central limit theorem
Hadamard differentiability
exchangeable bootstrap
quantile treatment effects
distribution regression
functional central limit theorem
Hadamard differentiability
exchangeable bootstrap
Ereignis
Geistige Schöpfung
(wer)
Wüthrich, Kaspar
Ereignis
Veröffentlichung
(wer)
University of Bern, Department of Economics
(wo)
Bern
(wann)
2015
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Wüthrich, Kaspar
- University of Bern, Department of Economics
Entstanden
- 2015
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