Causal inference by quantile regression kink designs

DOI10.1016/J.JECONOM.2019.02.005zbMATH Open1452.62900arXiv1605.09773OpenAlexW2963927972WikidataQ128267110 ScholiaQ128267110MaRDI QIDQ2000835FDOQ2000835

Harold D. Chiang, Yuya Sasaki

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: The quantile regression kink design (QRKD) is proposed by empirical researchers as a potential method to assess heterogeneous treatment effects under suitable research designs, but its causal interpretation remains unknown. We propose a causal interpretation of the QRKD estimand. Under flexible heterogeneity and endogeneity, the QRKD estimand measures a weighted average of heterogeneous marginal effects at respective conditional quantiles of outcome given a designed kink point. In addition, we develop weak convergence results for the QRKD estimator as a local quantile process for the purpose of conducting statistical inference on heterogeneous treatment effects using the QRKD. Applying our methods to the Continuous Wage and Benefit History Project (CWBH) data, we find significantly heterogeneous positive causal effects of unemployment insurance benefits on unemployment durations in Louisiana between 1981 and 1983. These effects are larger for individuals with longer unemployment durations.

Full work available at URL: https://arxiv.org/abs/1605.09773

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zbMATH Keywords

causal inferenceidentificationquantile regressionheterogeneous treatment effectsunemployment durationregression kink design

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

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Cited In (4)

• Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
• Robust uniform inference for quantile treatment effects in regression discontinuity designs
• Generalized linear models with structured sparsity estimators
• QUANTILE TREATMENT EFFECTS IN REGRESSION KINK DESIGNS

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