Econometrica: Jan 2007, Volume 75, Issue 1

Efficient Semiparametric Estimation of Quantile Treatment Effects

https://doi.org/10.1111/j.1468-0262.2007.00738.x
p. 259-276

Sergio Firpo

This paper develops estimators for quantile treatment effects under the identifying restriction that selection to treatment is based on observable characteristics. Identification is achieved without requiring computation of the conditional quantiles of the potential outcomes. Instead, the identification results for the marginal quantiles lead to an estimation procedure for the quantile treatment effect parameters that has two steps: nonparametric estimation of the propensity score and computation of the difference between the solutions of two separate minimization problems. Root‐ consistency, asymptotic normality, and achievement of the semiparametric efficiency bound are shown for that estimator. A consistent estimation procedure for the variance is also presented. Finally, the method developed here is applied to evaluation of a job training program and to a Monte Carlo exercise. Results from the empirical application indicate that the method works relatively well even for a data set with limited overlap between treated and controls in the support of covariates. The Monte Carlo study shows that, for a relatively small sample size, the method produces estimates with good precision and low bias, especially for middle quantiles.

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Supplemental Material

Supplement to "Efficient Semiparametric Estimation of Quantile Treatment Effects"

This supplement follows the paper entitled "Efficient Semiparametric Estimation of Quantile Treatment Effects". We present here (i) detailed results from an empirical example, (ii) results of a Monte Carlo exercise, (iii) details of the variance estimation, and (iv) proofs of the theoretical results.

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