Estimation of quantile treatment effects with Stata
In this article, we discuss the implementation of various estimators proposed to estimate quantile treatment effects. We distinguish four cases involv- ing conditional and unconditional quantile treatment effects with either exogenous or endogenous treatment variables. The introduced ivqte command covers four different estimators: the classical quantile regression estimator of Koenker and Bassett (1978, Econometrica 46: 33–50) extended to heteroskedasticity consis- tent standard errors; the instrumental-variable quantile regression estimator of Abadie, Angrist, and Imbens (2002, Econometrica 70: 91–117); the estimator for unconditional quantile treatment effects proposed by Firpo (2007, Econometrica 75: 259–276); and the instrumental-variable estimator for unconditional quantile treatment effects proposed by Fr ̈olich and Melly (2008, IZA discussion paper 3288). The implemented instrumental-variable procedures estimate the causal effects for the subpopulation of compliers and are only well suited for binary instruments. ivqte also provides analytical standard errors and various options for nonpara- metric estimation. As a by-product, the locreg command implements local linear and local logit estimators for mixed data (continuous, ordered discrete, unordered discrete, and binary regressors).
Volume (Year): 10 (2010)
Issue (Month): 3 (September)
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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.:
- Frölich, Markus & Melly, Blaise, 2008.
"Unconditional Quantile Treatment Effects under Endogeneity,"
IZA Discussion Papers
3288, Institute for the Study of Labor (IZA).
- 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.
- 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.
- Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2010.
"Quantile and Probability Curves without Crossing,"
Sciences Po publications
info:hdl:2441/5rkqqmvrn4t, Sciences Po.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile And Probability Curves Without Crossing," Boston University - Department of Economics - Working Papers Series WP2007-011, Boston University - Department of Economics.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2010. "Quantile and Probability Curves without Crossing," Post-Print hal-01052958, HAL.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
- repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
- Alberto Abadie & Joshua Angrist & Guido Imbens, 2002.
"Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings,"
Econometric Society, vol. 70(1), pages 91-117, January.
- Alberto Abadie & Joshua Angrist & Guido Imbens, 1999. "Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings," Working papers 99-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
- Sergio Firpo, 2004.
"Efficient Semiparametric Estimation of Quantile Treatment Effects,"
Econometric Society 2004 North American Summer Meetings
605, Econometric Society.
- Sergio Firpo, 2007. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 75(1), pages 259-276, 01.
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