TY - JOUR
T1 - Local structural quantile effects in a model with a nonseparable control variable
AU - Jun, Sung Jae
PY - 2009/7
Y1 - 2009/7
N2 - 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.
AB - 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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U2 - 10.1016/j.jeconom.2009.02.011
DO - 10.1016/j.jeconom.2009.02.011
M3 - Article
AN - SCOPUS:67349193215
SN - 0304-4076
VL - 151
SP - 82
EP - 97
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -