Semiparametric estimation of quantile treatment effects with endogeneity

Kaspar W Thrich
Authors registered in the RePEc Author Service: Kaspar Wüthrich

Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft

Abstract: This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions derived from the IVQR moment conditions. These estimators do not rely on separability of the structural quantile function, while retaining computational tractability and root-n-consistency. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are provided. I apply my method to reanalyze the effect of 401(k) plans on individual savings behavior.

Keywords: instrumental variables; quantile treatment effects; distribution regression; functional central limit theorem; Hadamard differentiability; exchangeable bootstrap (search for similar items in EconPapers)
JEL-codes: C14 C21 C26 (search for similar items in EconPapers)
Date: 2015-07
New Economics Papers: this item is included in nep-ecm
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