Estimating and Testing Unconditional Quantile Partial Effect under Endogeneity
Date Issued
2011
Date
2011
Author(s)
Su, Jiun-Hua
Abstract
In this paper, we extend Firpo, Fortin, and Lemieux’s (2009) unconditional quantile regression in the presence of an endogenous variable X. An estimator for the unconditional quantile partial effect (UQPE) of X is constructed in a nonseparable triangular simultaneous equations model via a control variable approach. By introducing a control variable, we avoid the assumption of unaffected conditional distribution imposed in Firpo et al. (2009) so that our estimator is more generally applicable in many empirical studies. We demonstrate that our estimator for the UQPE is consistent and asymptotically normally distributed under some regularity conditions. In addition, a quadratic-form test statistic is proposed to test linear hypotheses on the UQPE of all covariates for a given quantile. Finally, the results of Monte Carlo simulation suggest that our estimation of the UQPE of an endogenous variable effectively reduces the bias and mean square error when the sample size is sufficiently large.
Subjects
Control Variable
Endogeneity
Nonseparable Model
Unconditional Quantile Partial Effect
Unconditional Quantile Regression
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-100-R96723078-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):a0c57c8a1ec15d1fb74185e0fda2d655