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Efficient Semiparametric Estimation of Quantile Treatment Effects

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Author Info
Sergio Firpo

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Abstract

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-N 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. Copyright The Econometric Society 2007.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2007.00738.x
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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 75 (2007)
Issue (Month): 1 (01)
Pages: 259-276
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Handle: RePEc:ecm:emetrp:v:75:y:2007:i:1:p:259-276

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  4. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-82, November. [Downloadable!] (restricted)
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  9. Heckman, James J & Smith, Jeffrey, 1997. "Making the Most Out of Programme Evaluations and Social Experiments: Accounting for Heterogeneity in Programme Impacts," Review of Economic Studies, Blackwell Publishing, vol. 64(4), pages 487-535, October. [Downloadable!] (restricted)
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  12. Heckman, James J & Ichimura, Hidehiko & Todd, Petra, 1998. "Matching as an Econometric Evaluation Estimator," Review of Economic Studies, Blackwell Publishing, vol. 65(2), pages 261-94, April. [Downloadable!] (restricted)
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  15. Rajeev H. Dehejia & Sadek Wahba, 1998. "Causal Effects in Non-Experimental Studies: Re-Evaluating the Evaluation of Training Programs," NBER Working Papers 6586, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  20. Angrist, Joshua D. & Krueger, Alan B., 1999. "Empirical strategies in labor economics," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 23, pages 1277-1366 Elsevier. [Downloadable!] (restricted)
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  21. Alberto Abadie & Guido W. Imbens, 2002. "Simple and Bias-Corrected Matching Estimators for Average Treatment Effects," NBER Technical Working Papers 0283, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Jinyong Hahn, 1998. "On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects," Econometrica, Econometric Society, vol. 66(2), pages 315-332, March.
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marianne Bitler & Jonah Gelbach & Hilary Hoynes, 2003. "What Mean Impacts Miss: Distributional Effects of Welfare Reform Experiments," NBER Working Papers 10121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Nonparametric Tests for Treatment Effect Heterogeneity," NBER Technical Working Papers 0324, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Daniel Millimet & Abdullah Kumas, 2007. "Reassessing the Effects of Bilateral Tax Treaties on US FDI Activity," Departmental Working Papers 0704, Southern Methodist University, Department of Economics. [Downloadable!]
  4. Christopher Blattman, 2006. "The Consequences of Child Soldiering," HiCN Working Papers 22, Households in Conflict Network. [Downloadable!]
  5. Denis Cogneau & Michael Grimm, 2004. "The Measurement of Income Distribution Dynamics when Demographics are correlated with Income," Working Papers DT/2004/12, DIAL (Développement, Institutions & Analyses de Long terme), revised Dec 2004. [Downloadable!]
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  6. Millimet, Daniel L. & Wang, Le, 2009. "Is the Quantity-Quality Trade-off a Trade-off for All, None, or Some?," IZA Discussion Papers 4078, Institute for the Study of Labor (IZA). [Downloadable!]
  7. Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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  8. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2005. "Distributional Impacts of the Self-Sufficiency Project," NBER Working Papers 11626, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Lechner, Michael & Melly, Blaise, 2007. "Earnings Effects of Training Programs," CEPR Discussion Papers 6400, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  10. Gernandt, Johannes & Maier, Michael & Pfeiffer, Friedhelm & Rat-Wirtzler, Julie, 2006. "Distributional effects of the high school degree in Germany," ZEW Discussion Papers 06-88, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  11. Jean Bourdon & Markus Frölich & Katharina Michaelowa, 2007. "Teacher Shortages, Teacher Contracts and their Impact on Education in Africa," IZA Discussion Papers 2844, Institute for the Study of Labor (IZA). [Downloadable!]
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  12. Carlos A. Flores, . "Estimation of Dose-Response Functions and Optimal Doses with a Continuous Treatment," Working Papers 0707, University of Miami, Department of Economics. [Downloadable!]
  13. Esfandiar Maasoumi & Daniel L. Millimet & Dipanwita Sarkar, 2008. "Who Benefits from Marriage?," Emory Economics 0807, Department of Economics, Emory University (Atlanta). [Downloadable!]
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  14. Søren Leth-Petersen & Gabriel Pons Rotger, 2008. "Long-term Labour Market Performance of Whiplash Claimants," CAM Working Papers 2008-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
  15. Dammert, Ana C., 2008. "Heterogeneous Impacts of Conditional Cash Transfers: Evidence from Nicaragua," IZA Discussion Papers 3653, Institute for the Study of Labor (IZA). [Downloadable!]
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  16. Florence Kondylis, 2007. "Agricultural Outputs and Conflict Displacement: Evidence from a Policy Intervention in Rwanda," HiCN Working Papers 28, Households in Conflict Network. [Downloadable!]
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