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Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects

Ruofan Xu (ruofan.xu@monash.edu), Jiti Gao, Tatsushi Oka and Yoon-Jae Whang

No 13/22, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We study the estimation of heterogeneous effects of group-level policies, using quantile regression with interactive fixed effects. Our approach can identify distributional policy effects, particularly effects on inequality, under a type of difference-in-differences assumption. We provide asymptotic properties of our estimators and an inferential method. We apply the model to evaluate the effect of the minimum wage policy on earnings between 1967 and 1980 in the United States. Our results suggest that the minimum wage policy has a significant negative impact on the between-inequality but little effect on the within-inequality.

Keywords: Heterogeneous policy effects; quantile regression; interactive fixed effects (search for similar items in EconPapers)
JEL-codes: C13 C31 J15 J31 J38 (search for similar items in EconPapers)
Pages: 47
Date: 2022
New Economics Papers: this item is included in nep-lma
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