An IV model of quantile treatment effects

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An IV model of quantile treatment effects

This paper develops a model of quantile treatment effects with treatment endogeneity. The model primarily exploits similarity assumption as a main restriction that handles endogeneity. From this model we derive a Wald IV estimating equation, and show that the model does not require functional form assumptions for identification. We then characterize the quantile treatment function as solving an "inverse" quantile regression problem and suggest its finite-sample analog as a practical estimator. This estimator, unlike generalized method-of-moments, can be easily computed by solving a series of conventional quantile regressions, and does not require grid searches over high-dimensional parameter sets. A properly weighted version of this estimator is also efficient. The model and estimator apply to either continuous or discrete variables. We apply this estimator to characterize the median and other quantile treatment effects in a market demand model and a job training program. Keywords: Quantile Regression, Inverse Quantile Regression, Instrumental Quantile Regression, Treatment Effects, Empirical Likelihood,Training, Demand Models.JEL Classification: C13, C14, C30, C51, D4, J24, J31.

Publish Date
Language
English
Pages
35

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Cover of: An IV model of quantile treatment effects
An IV model of quantile treatment effects
2001, Massachusetts Institute of Technology, Dept. of Economics
in English

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Book Details


Edition Notes

"December 2001."

Includes bibliographical references (p. 33-35).

Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.

Published in
Cambridge, MA
Series
Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 02-06, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 02-06.
Other Titles
4 model of quantile treatment effects

The Physical Object

Pagination
35 p. :
Number of pages
35

Edition Identifiers

Open Library
OL24639946M
Internet Archive
ivmodelofquantil00cher
OCLC/WorldCat
51782499

Work Identifiers

Work ID
OL15720009W

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May 4, 2025 Edited by ImportBot import existing book
August 11, 2020 Edited by MARC Bot remove fake subjects
April 30, 2011 Created by ImportBot initial import