A New Framework for Estimation of Unconditional Quantile Treatment Effects: The Residualized Quantile Regression (RQR) Model

Nicolai T. Borgen, Andreas Haupt and Øyvind N. Wiborg

No 42gcb, SocArXiv from Center for Open Science

Abstract: The identification of unconditional quantile treatment effects (QTE) has become increasingly popular within social sciences. However, current methods to identify unconditional QTEs of continuous treatment variables are incomplete. Contrary to popular belief, the unconditional quantile regression model introduced by Firpo, Fortin, and Lemieux (2009) does not identify QTE, while the propensity score framework of Firpo (2007) allows for only a binary treatment variable, and the generalized quantile regression model of Powell (2020) is unfeasible with high-dimensional fixed effects. This paper introduces a two-step approach to estimate unconditional QTEs where the treatment variable is first regressed on the control variables followed by a quantile regression of the outcome on the residualized treatment variable. Unlike much of the literature on quantile regression, this two-step residualized quantile regression framework is easy to understand, computationally fast, and can include high-dimensional fixed effects.

Date: 2021-04-14
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:42gcb

DOI: 10.31219/osf.io/42gcb

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