Semiparametric estimation of quantile treatment effects with endogeneity

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 15-09

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: instrumental variables ; quantile treatment effects ; distribution regression ; functional central limit theorem ; Hadamard differentiability ; exchangeable bootstrap

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wüthrich, Kaspar
• Event: Veröffentlichung
• (who): University of Bern, Department of Economics
• (where): Bern
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/126627
• Last update: 10.03.2025, 11:44 AM CET