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Instrumental Variables Estimation of Quantile Treatment Effects

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Author Info
Alberto Abadie
Joshua D. Angrist
Guido W. Imbens

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Abstract

This paper introduces an instrumental variables estimator for the effect of a binary treatment on the quantiles of potential outcomes. The quantile treatment effects (QTE) estimator accommodates exogenous covariates and reduces to quantile regression as a special case when treatment status is exogenous. Asymptotic distribution theory and computational methods are derived. QTE minimizes a piecewise linear objective function for which a local minimum can be obtained using a modified Barrodale-Roberts algorithm. The QTE estimator is illustrated by estimating the effect of childbearing on the distribution of family income.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0229.

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Date of creation: Mar 1998
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Handle: RePEc:nbr:nberte:0229

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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  1. 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:
  2. Michael Grimm & Denis Cogneau, 2005. "The Measurement of Income Distribution Dynamics when Demographics are correlated with Income," Departmental Discussion Papers 122, University of Goettingen, Department of Economics. [Downloadable!]
    Other versions:
  3. Kugler, Adriana D. & Sauer, Robert M, 2003. "Doctors without Borders: The Returns to an Occupational License for Soviet Immigrant Physicians in Israel," CEPR Discussion Papers 3683, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  4. Kugler, Adriana D. & Sauer, Robert M., 2002. "Doctors Without Borders: The Returns to an Occupational License for Soviet Immigrant Physicians in Israel," IZA Discussion Papers 634, Institute for the Study of Labor (IZA). [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!]
  6. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall. [Downloadable!] (restricted)
  7. Richard Blundell & Monica Costa Dias, 2002. "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers CWP10/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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  8. Alberto Abadie, 2000. "Semiparametric Estimation of Instrumental Variable Models for Causal Effects," NBER Technical Working Papers 0260, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Shlomo Yitzhaki & Edna Schechtman, 2004. "The Gini Instrumental Variable, or the “double instrumental variable” estimator," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 287-313. [Downloadable!]
  10. Adriana Kugler & Robert Sauer, 2002. "Doctors without Borders: The Returns to an Occupational License for Soviet Immigrant Physicians in Israel," Economics Working Papers 648, Department of Economics and Business, Universitat Pompeu Fabra. [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!]
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  12. Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society. [Downloadable!]
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