Unconditional Quantile Treatment Effects in the Presence of Covariates
AbstractMany economic applications have found quantile models useful when the explanatory variables may have varying impacts throughout the distribution of the outcome variable. Traditional quantile estimators provide conditional quantile treatment effects. Typically, we are interested in unconditional quantiles, characterizing the distribution of the outcome variable for different values of the treatment variables. Conditioning on additional covariates, however, may be necessary for identification of these treatment effects. With conditional quantile models, the inclusion of additional covariates changes the interpretation of the estimates. This paper discusses identification of unconditional quantile treatment effects when it is necessary or simply desirable to condition on covariates. It discusses identification for both exogenous and endogenous treatment variables, which can be discrete or continuous, without functional form assumptions.
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.
Bibliographic InfoPaper provided by RAND Corporation Publications Department in its series Working Papers with number 816.
Length: 27 pages
Date of creation: Dec 2010
Date of revision:
Contact details of provider:
Postal: 1776 Main Street, P.O. Box 2138, Santa Monica, California 90407-2138
Web page: http://www.rand.org/pubs/
More information through EDIRC
expectations; portfolio choice; subjective probabilities; uncertatinty; Health and Retirement Study;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
This paper has been announced in the following NEP Reports:
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.:
- Guido W. Imbens & Whitney K. Newey, 2009.
"Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity,"
Econometric Society, vol. 77(5), pages 1481-1512, 09.
- Whitney Newey & Guido Imbens, 2004. "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity," Econometric Society 2004 North American Summer Meetings 594, Econometric Society.
- Guido W. Imbens & Whitney K. Newey, 2002. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," NBER Technical Working Papers 0285, National Bureau of Economic Research, Inc.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
- Cecilia Elena Rouse, 1998. "Private School Vouchers And Student Achievement: An Evaluation Of The Milwaukee Parental Choice Program," The Quarterly Journal of Economics, MIT Press, vol. 113(2), pages 553-602, May.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Sergio Firpo, 2007.
"Efficient Semiparametric Estimation of Quantile Treatment Effects,"
Econometric Society, vol. 75(1), pages 259-276, 01.
- Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society.
- Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
- Alberto Abadie & Joshua Angrist & Guido Imbens, 1999.
"Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings,"
99-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Alberto Abadie & Joshua Angrist & Guido Imbens, 2002. "Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings," Econometrica, Econometric Society, vol. 70(1), pages 91-117, January.
- SErgio Firpo & Nicole M. Fortin & Thomas Lemieux, 2006.
"Unconditional Quantile Regressions,"
Textos para discussÃ£o
533, Department of Economics PUC-Rio (Brazil).
- Markus Frölich & Blaise Melly, 2007.
"Unconditional quantile treatment effects under endogeneity,"
CeMMAP working papers
CWP32/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Markus FrÃ¶lich & Blaise Melly, 2013. "Unconditional Quantile Treatment Effects Under Endogeneity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 346-357, July.
- Frölich, Markus & Melly, Blaise, 2008. "Unconditional Quantile Treatment Effects under Endogeneity," IZA Discussion Papers 3288, Institute for the Study of Labor (IZA).
- Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
- Harding, Matthew & Lamarche, Carlos, 2009. "A quantile regression approach for estimating panel data models using instrumental variables," Economics Letters, Elsevier, vol. 104(3), pages 133-135, September.
- Abrevaya, Jason & Dahl, Christian M, 2008. "The Effects of Birth Inputs on Birthweight," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 379-397.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benson Wong).
If references are entirely missing, you can add them using this form.