Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/126627
Authors: 
Wüthrich, Kaspar
Year of Publication: 
2015
Series/Report no.: 
Discussion Papers, Universität Bern, Department of Economics 15-09
Abstract: 
This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions derived from the IVQR moment conditions. These estimators do not rely on separability of the structural quantile function, while retaining computational tractability and root-n-consistency. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are provided. I apply my method to reanalyze the effect of 401(k) plans on individual savings behavior.
Subjects: 
instrumental variables
quantile treatment effects
distribution regression
functional central limit theorem
Hadamard differentiability
exchangeable bootstrap
JEL: 
C14
C21
C26
Document Type: 
Working Paper

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