Unconditional Quantile Treatment Effects under Endogeneity

Markus Frölich (froelich@uni-mannheim.de) and Blaise Melly (blaise.melly@unibe.ch)

No 3288, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper develops IV estimators for unconditional quantile treatment effects (QTE) when the treatment selection is endogenous. In contrast to conditional QTE, i.e. the effects conditional on a large number of covariates X, the unconditional QTE summarize the effects of a treatment for the entire population. They are usually of most interest in policy evaluations because the results can easily be conveyed and summarized. Last but not least, unconditional QTE can be estimated at ?n rate without any parametric assumption, which is obviously impossible for conditional QTE (unless all X are discrete). In this paper we extend the identification of unconditional QTE to endogenous treatments. Identification is based on a monotonicity assumption in the treatment choice equation and is achieved without any functional form restriction. Several types of estimators are proposed: regression, propensity score and weighting estimators. Root n consistency, asymptotic normality and attainment of the semiparametric efficiency bound are shown for our weighting estimator, which is extremely simple to implement. We also show that including covariates in the estimation is not only necessary for consistency when the instrumental variable is itself confounded but also for efficiency when the instrument is valid unconditionally. Monte Carlo simulations and two empirical applications illustrate the use of the proposed estimators.

Keywords: nonparametric regression; quantile treatment effects; instrumental variables (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 (search for similar items in EconPapers)
Pages: 83 pages
Date: 2008-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (25)

Published - revised version published in: Journal of Business & Economic Statistics, 2013, 31(3), 346-357

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Related works:
Journal Article: Unconditional Quantile Treatment Effects Under Endogeneity (2013)
Working Paper: Unconditional quantile treatment effects under endogeneity (2007)
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