Unconditional Quantile Treatment Effects Under Endogeneity

ISSN： 0735-0015

Source： Journal of Business & Economic Statistics, Vol.31, Iss.3, 2013-07, pp. : 346-357

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Abstract

This article develops estimators for unconditional quantile treatment effects when the treatment selection is endogenous. We use an instrumental variable (IV) to solve for the endogeneity of the binary treatment variable. Identification is based on a monotonicity assumption in the treatment choice equation and is achieved without any functional form restriction. We propose a weighting estimator that is extremely simple to implement. This estimator is root n consistent, asymptotically normally distributed, and its variance attains the semiparametric efficiency bound. We also show that including covariates in the estimation is not only necessary for consistency when the IV is itself confounded but also for efficiency when the instrument is valid unconditionally. An application of the suggested methods to the effects of fertility on the family income distribution illustrates their usefulness. Supplementary materials for this article are available online.