Local structural quantile effects in a model with a nonseparable control variable

Sung Jae Jun

Journal of Econometrics, 2009, vol. 151, issue 1, 82-97

Abstract: I consider a semiparametric version of the nonseparable triangular model of Chesher [Chesher, A., 2003. Identification in nonseparable models. Econometrica 71, 1405-1441]. The proposed model is linear in coefficients, where the coefficients are unknown functions of unobserved latent variables. Using a control variable idea and quantile regression methods, I propose a simple two-step estimator for the coefficients evaluated at particular values of the latent variables. Under the condition that the instruments are locally relevant (i.e. they affect a particular conditional quantile of interest of the endogenous variable) I establish consistency and asymptotic normality. Simulation experiments confirm the theoretical results.

Keywords: Triangular; models; Local; instruments; Control; variables; Quantile; regression (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:151:y:2009:i:1:p:82-97

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