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Identification and estimation of triangular models with a binary treatment

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  • Santiago Pereda Fernández

    () (Bank of Italy)

Abstract

I study the identification and estimation of a nonseparable triangular model with an endogenous binary treatment. Unlike other studies, I do not impose rank invariance or rank similarity on the unobservable of the outcome equation. Instead, I achieve identification using continuous variation of the instrument and a shape restriction on the distribution of the unobservables, which is modeled with a copula. The latter captures the endogeneity of the model and is one of the components of the marginal treatment effect, making it informative about the effects of extending the treatment to untreated individuals. The estimation is a multi-step procedure based on rotated quantile regression. Finally, I use the estimator to revisit the effects of Work First Job Placements on future earnings.

Suggested Citation

  • Santiago Pereda Fernández, 2019. "Identification and estimation of triangular models with a binary treatment," Temi di discussione (Economic working papers) 1210, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_1210_19
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    References listed on IDEAS

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    More about this item

    Keywords

    copula; endogeneity; policy analysis; quantile regression; unconditional distributional effects;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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