Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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AN IV MODEL OF QUANTILE TREATMENT EFFECTS


Category: Econometrics
TREATMENT EFFECTS AND PROGRAM EVALUATION I
Sunday 25th August 2002, 09:30 - 11:00, Room: 4.10
Session Chair(s): Enrico Rettore, University of Padua, ITALY

Presenter(s): Chernozhukov, Victor

Co-Author(s): Hansen, Christian

Keyword(s): Endogeneity, Instrumental Regression, Quantile Regression, Treatment Effects

JEL(s): C30, C31, C51

Abstract:

We develop a model of quantile treatment effects with endogeneity. The model exploits similarity assumption as a main identifying restriction. From this model we derive a Wald IV equation, and show that the model does not require functional form assumptions for identification. We 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 GMM, can be easily computed by solving a series of conventional quantile regressions, and does not require grid searches over many parameters. Empirical applications illustrate the approach.


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Paper Reference Number: 1715

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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