Neyman-orthogonal moment for instrumental variable quantile regression model with high dimensional data

Zequn Jin and Jisheng Sun

Economics Letters, 2025, vol. 253, issue C

Abstract: This paper examines the identification of the unconditional quantile treatment effect (QTE) using the Instrumental Variable Quantile Regression (IVQR) model, allowing for the possibility of high-dimensional covariates. We develop a Neyman-Orthogonal moment condition for the unconditional QTE in cases where the potential outcome equations are specified nonparametrically, capturing a rich pattern of heterogeneous treatment effect. Based on this moment condition, we discuss the estimation procedure.

Keywords: IVQR model; High dimensional data; Neyman-orthogonality; Heterogeneity (search for similar items in EconPapers)
JEL-codes: C14 C31 C36 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:253:y:2025:i:c:s016517652500206x

DOI: 10.1016/j.econlet.2025.112369

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