An IV Model of Quantile Treatment Effects
AbstractThe ability of quantile regression models to characterize the heterogeneous impact of variables on different points of an outcome distribution makes them appealing in many economic applications. However, in observational studies, the variables of interest (e.g., education, prices) are often endogenous, making conventional quantile regression inconsistent and hence inappropriate for recovering the causal effects of these variables on the quantiles of economic outcomes. In order to address this problem, we develop a model of quantile treatment effects (QTE) in the presence of endogeneity and obtain conditions for identification of the QTE without functional form assumptions. The principal feature of the model is the imposition of conditions that restrict the evolution of ranks across treatment states. This feature allows us to overcome the endogeneity problem and recover the true QTE through the use of instrumental variables. The proposed model can also be equivalently viewed as a structural simultaneous equation model with nonadditive errors, where QTE can be interpreted as the structural quantile effects (SQE). Copyright The Econometric Society 2005.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 73 (2005)
Issue (Month): 1 (01)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.