Abstract

http://ssrn.com/abstract=313426
 


 



Inference for Distributional Effects using Instrumental Quantile Regression


Victor Chernozhukov


Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Christian Hansen


University of Chicago Graduate School of Business

May 16, 2002

MIT Department of Economics Working Paper No. 02-20

Abstract:     
In this paper we describe how quantile regression can be used to evaluate the impact of treatment on the entire distribution of outcomes, when the treatment is endogenous or selected in relation to potential outcomes. We describe an instrumental variable quantile regression process and the set of inferences derived from it, focusing on tests of distributional equality, non-constant treatment effects, conditional dominance, and exogeneity. The inference, which is subject to the Durbin problem, is handled via a method of score resampling. The approach is illustrated with a classical supply-demand and a schooling example. Results from both models demonstrate substantial treatment heterogeneity and serve to illustrate the rich variety of hypotheses that can be tested using inference on the instrumental quantile regression process.

Number of Pages in PDF File: 38

Keywords: Quantile Regression, Instrumental Quantile Regression, Treatment Effects, Endogeneity, Stochastic Dominance, Hausman Test, Supply-Demand Equations, Returns to Education

JEL Classification: C13, C14, C30, C51, D4, J24, J31

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Date posted: May 24, 2002  

Suggested Citation

Chernozhukov, Victor and Hansen, Christian, Inference for Distributional Effects using Instrumental Quantile Regression (May 16, 2002). MIT Department of Economics Working Paper No. 02-20. Available at SSRN: http://ssrn.com/abstract=313426 or http://dx.doi.org/10.2139/ssrn.313426

Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
New Economic School
47 Nakhimovsky Prospekt
Moscow, 117418
Russia
Christian Hansen
University of Chicago Graduate School of Business ( email )
Chicago, IL 60637
United States
773-834-1702 (Phone)
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