Panel Data Quantile Regression for Treatment Effect Models
Bibliographic Data
| ID | 19420133 |
|---|---|
| Authors | Takuya Ishihara (0009-0008-9662-3451, Tohoku University, corresponding author) |
| Year | 2023 |
| Volume | 41 |
| Issue | 3 |
| Pages | 720-736 |
| Publication date | 2023-07-03 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2022.2061495 |
| OpenAlex | W4221135254 |
| Language | EN |
| References cited | 32 |
In this study, we develop a novel estimation method for quantile treatment effects (QTE) under rank invariance and rank stationarity assumptions. Ishihara (2020 Ishihara, T. (2020), “Identification and Estimation of Time-Varying Nonseparable Panel Data Models Without Stayers,” Journal of Econometrics, 215, 184–208. DOI: https://doi.org/10.1016/j.jeconom.2019.08.008.[Crossref] , [Google Scholar]) explores identification of the nonseparable panel data model under these assumptions and proposes a parametric estimation based on the minimum distance method. However, when the dimensionality of the covariates is large, the minimum distance estimation using this process is computationally demanding. To overcome this problem, we propose a two-step estimation method based on the quantile regression and minimum distance methods. We then show the uniform asymptotic properties of our estimator and the validity of the nonparametric bootstrap. The Monte Carlo studies indicate that our estimator performs well in finite samples. Finally, we present two empirical illustrations, to estimate the distributional effects of insurance provision on household production and TV watching on child cognitive development
Covariate · Curse of dimensionality · Econometrics · Economics · Estimation · Estimator · Monte Carlo method · Nonparametric statistics · Panel data · Parametric statistics · Quantile · Quantile regression · Statistics · Advanced Causal Inference Techniques · Computer Science · Mathematics · Spatial and Panel Data Analysis · Statistical Methods and Inference
Weak Convergence and Empirical Processes
Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models
Is universal child care leveling the playing field?
Multivariate regression models for panel data
Efficient Semiparametric Estimation of Quantile Treatment Effects
Instrumental quantile regression inference for structural and treatment effect models
Identification and Inference in Nonlinear Difference-in-Differences Models
An IV Model of Quantile Treatment Effects
Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings
Regression Quantiles
What Mean Impacts Miss
Unconditional Quantile Treatment Effects Under Endogeneity
The Effects of 401(K) Participation on the Wealth Distribution
Beyond the average effects
| Highly cited | No |
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