Semiparametric estimation of quantile treatment effects with endogeneity

Wüthrich, Kaspar (July 2015). Semiparametric estimation of quantile treatment effects with endogeneity (Discussion Papers 15-09). Bern: Department of Economics

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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.

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