Quantile regression with censoring and endogeneity
نویسندگان
چکیده
منابع مشابه
Quantile Regression with Censoring and Endogeneity
In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in two stages that are nonadditive in the...
متن کاملCounterfactual distributions of wages via quantile regression with endogeneity
Counterfactual decompositions allow the researcher to analyze the changes in wage distributions by discriminating between the effect of changes in the population characteristics and the effect of changes in returns to these characteristics. In this paper we derive counterfactual distributions by recovering the conditional distribution via a set of quantile regressions, and correcting for the en...
متن کاملTreatment Effects With Censoring and Endogeneity
This paper develops a nonparametric approach to identification and estimation of treatment effects on censored outcomes when treatment may be endogenous and have arbitrarily heterogeneous effects. Identification is based on an instrumental variable that satisfies the exclusion and monotonicity conditions standard in the local average treatment effects framework. The paper proposes a censored qu...
متن کاملEXTREMAL QUANTILE REGRESSION 3 quantile regression
Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the upper and lower tails. This paper develops a theory of quantile regression in the tails. Specifically , it obtains the large sample properties of extremal (ext...
متن کاملNonparametric quantile estimation under progressive censoring
This work deals with asymptotic properties of the [αm]-th order statistic of a type-II progressively censored sample of size m. Such an order statistic, indexed by α ∈ [0, 1], is called the quantile process. Our main results concern the normalized version of the quantile process for which invariance principles are obtained. These results are applied in order to construct non-parametric estimato...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2014.06.017