Exogenous impact and conditional quantile functions
AbstractAn exogenous impact function is defined as the derivative of a structural function with respect to an endogenous variable, other variables, including unobservable variables held fixed. Unobservable variables are fixed at specific quantiles of their marginal distributions. Exogenous impact functions reveal the impact of an exogenous shift in a variable perhaps determined endogenously in the data generating process. They provide information about the variation in exogenous impacts across quantiles of the distributions of the unobservable variables that appear in the structural model. This paper considers nonparametric identification of exogenous impact functions under quantile independence conditions. It is shown that, when valid instrumental variables are present, exogenous impact functions can be identified as functionals of conditional quantile functions that involve only observable random variables. This suggests parametric, semiparametric and nonparametric strategies for estimating exogenous impact functions.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0108001.
Length: 13 pages
Date of creation: 17 Aug 2001
Date of revision:
Note: Type of Document - Acrobat PDF; prepared on Windows 2000 Professional PC; to print on A4 paper; pages: 13 ; figures: none
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endogeneity; quantile regression; identification; structural models; instrumental variables; quantile independence;
Other versions of this item:
- Chesher, A, 2001. "Exogenous impact and conditional quantile functions," Open Access publications from University College London http://discovery.ucl.ac.u, University College London.
- Andrew Chesher, 2001. "Exogenous impact and conditional quantile functions," CeMMAP working papers CWP01/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-08-30 (All new papers)
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