Inference for Distributional Effects using Instrumental Quantile Regression

38 Pages Posted: 24 May 2002  

Victor Chernozhukov

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

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Date Written: May 16, 2002

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.

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

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: https://ssrn.com/abstract=313426 or http://dx.doi.org/10.2139/ssrn.313426

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 - Booth School of Business - Econometrics and Statistics ( email )

Chicago, IL 60637
United States
773-834-1702 (Phone)

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