Local structural quantile effects in a model with a nonseparable control variable

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Abstract

I consider a semiparametric version of the nonseparable triangular model of Chesher [Chesher, A., 2003. Identification in nonseparable models. Econometrica 71, 1405-1441]. The proposed model is linear in coefficients, where the coefficients are unknown functions of unobserved latent variables. Using a control variable idea and quantile regression methods, I propose a simple two-step estimator for the coefficients evaluated at particular values of the latent variables. Under the condition that the instruments are locally relevant (i.e. they affect a particular conditional quantile of interest of the endogenous variable) I establish consistency and asymptotic normality. Simulation experiments confirm the theoretical results.

Original languageEnglish (US)
Pages (from-to)82-97
Number of pages16
JournalJournal of Econometrics
Volume151
Issue number1
DOIs
StatePublished - Jul 1 2009

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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