Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130736
Authors: 
Klein, Roger
Shen, Chan
Year of Publication: 
2015
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2015-11
Abstract: 
We propose instrumental variable(IV) estimators for quantile marginal effects and the parameters upon which they depend in a semiparametric outcome model with endogenous discrete treatment variables. We prove identification, consistency, and asymptotic normality of the estimators. We also show that they are efficient under correct model specification. Further, we show that they are robust to misspecification of the treatment model in that consistency and asymptotic normality continue to hold in this case. In the Monte Carlo study, the estimators perform well over diverse designs covering both correct and incorrect treatment model specifications.
Subjects: 
semiparametric estimation
IV
marginal effects
efficiency
robustness
JEL: 
C14
C26
Document Type: 
Working Paper

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