A closed-form estimator for quantile treatment effects with endogeneity

This paper studies the estimation of quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005). I develop a class of flexible plug-in estimators based on closed-form solutions derived from the IVQR moment conditions. The proposed e...

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Bibliographic Details
Published in:Journal of econometrics 2019-06, Vol.210 (2), p.219-235
Main Author: Wüthrich, Kaspar
Format: Article
Language:English
Subjects:
Conditional and unconditional quantile treatment effects
Deferred compensation
Distribution regression
Estimating techniques
Exchangeable bootstrap
Instrumental variables
Monte Carlo simulation
Regression analysis
Theorems
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Summary:This paper studies the estimation of quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005). I develop a class of flexible plug-in estimators based on closed-form solutions derived from the IVQR moment conditions. The proposed estimators remain tractable and root-n-consistent, while allowing for rich patterns of effect heterogeneity. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are provided. Monte Carlo simulations demonstrate favorable finite sample properties of the proposed approach. I apply my method to reanalyze the causal effect of 401(k) plans.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2018.11.017