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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 presents calculations of semiparametric efficiency bounds for quantile treatment effects parameters when selection to treatment is based on observable characteristics. The paper also presents three estimation procedures for these parameters, all of which have two steps: a nonparametric estimation and a computation of the difference between the solutions of two distinct minimization problems. Root-$N$ consistency, asymptotic normality, and the achievement of the semiparametric efficiency bound is shown for one of the three estimators. In the final part of the paper, an empirical application to a job training program reveals the importance of heterogeneous treatment effects, showing that for this program the effects are concentrated in the upper quantiles of the earnings distribution.

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 605.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:605

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Related research
Keywords: Quantile Treatment Effects Propensity Score Semiparametric Efficiency Bounds Efficient Estimation Semiparametric Estimation

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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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)
  5. LaLonde, Robert J, 1986. "Evaluating the Econometric Evaluations of Training Programs with Experimental Data," American Economic Review, American Economic Association, vol. 76(4), pages 604-20, September. [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)
  13. Jeffrey A. Smith & Petra E. Todd, 2001. "Reconciling Conflicting Evidence on the Performance of Propensity-Score Matching Methods," American Economic Review, American Economic Association, vol. 91(2), pages 112-118, May. [Downloadable!] (restricted)
  14. Alberto Abadie & Joshua D. Angrist & Guido W. Imbens, 1998. "Instrumental Variables Estimation of Quantile Treatment Effects," NBER Technical Working Papers 0229, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  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)
  22. Heckman, James J. & Lalonde, Robert J. & Smith, Jeffrey A., 1999. "The economics and econometrics of active labor market programs," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 31, pages 1865-2097 Elsevier. [Downloadable!] (restricted)
  23. Manski, Charles F, 1997. "The Mixing Problem in Programme Evaluation," Review of Economic Studies, Blackwell Publishing, vol. 64(4), pages 537-53, October. [Downloadable!] (restricted)
    Other versions:
  24. 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.
Full references

Cited by:
(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)
    Other versions:
  3. Michael Lechner & Blaise Melly, 2007. "Earnings Effects of Training Programs," IZA Discussion Papers 2926, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  4. 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!]
  5. Michael Grimm & Denis Cogneau, 2005. "The Measurement of Income Distribution Dynamics when Demographics are correlated with Income," Labor and Demography 0502003, EconWPA. [Downloadable!]
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  6. 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!]
  7. 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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  8. 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!]
  9. 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!]
  10. Christopher Blattman, 2006. "The Consequences of Child Soldiering," HiCN Working Papers 22, Households in Conflict Network. [Downloadable!]
  11. 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!]
  12. 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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  13. 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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