A closed-form estimator for quantile treatment effects with endogeneity

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 210
Issue: 2
Pages: 219-235

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper studies the estimation of quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005). I develop a class of flexible plug-in estimators based on closed-form solutions derived from the IVQR moment conditions. The proposed estimators remain tractable and root-n-consistent, while allowing for rich patterns of effect heterogeneity. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are provided. Monte Carlo simulations demonstrate favorable finite sample properties of the proposed approach. I apply my method to reanalyze the causal effect of 401(k) plans.

Technical Details

RePEc Handle
repec:eee:econom:v:210:y:2019:i:2:p:219-235
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29