Panel Data Quantile Regression for Treatment Effect Models

Takuya Ishihara

Papers from arXiv.org

Abstract: In this study, we develop a novel estimation method for quantile treatment effects (QTE) under rank invariance and rank stationarity assumptions. Ishihara (2020) explores identification of the nonseparable panel data model under these assumptions and proposes a parametric estimation based on the minimum distance method. However, when the dimensionality of the covariates is large, the minimum distance estimation using this process is computationally demanding. To overcome this problem, we propose a two-step estimation method based on the quantile regression and minimum distance methods. We then show the uniform asymptotic properties of our estimator and the validity of the nonparametric bootstrap. The Monte Carlo studies indicate that our estimator performs well in finite samples. Finally, we present two empirical illustrations, to estimate the distributional effects of insurance provision on household production and TV watching on child cognitive development.

Date: 2020-01, Revised 2021-11
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2001.04324

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