Local structural quantile effects in a model with a nonseparable control variable |
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Authors: | Sung Jae Jun |
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Institution: | CAPCP,1 Department of Economics, The Pennsylvania State University, 608 Kern Graduate Building, University Park, PA 16802, United States |
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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. |
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Keywords: | C14 C30 |
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