Neyman-orthogonal moment for instrumental variable quantile regression model with high dimensional data

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-05-09 DOI:10.1016/j.econlet.2025.112369

Zequn Jin , Jisheng Sun

引用次数: 0

Abstract

This paper examines the identification of the unconditional quantile treatment effect (QTE) using the Instrumental Variable Quantile Regression (IVQR) model, allowing for the possibility of high-dimensional covariates. We develop a Neyman-Orthogonal moment condition for the unconditional QTE in cases where the potential outcome equations are specified nonparametrically, capturing a rich pattern of heterogeneous treatment effect. Based on this moment condition, we discuss the estimation procedure.

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高维数据的工具变量分位数回归模型的内曼-正交矩

本文使用工具变量分位数回归（IVQR）模型检验了无条件分位数治疗效果（QTE）的识别，允许高维协变量的可能性。在潜在结果方程是非参数指定的情况下，我们开发了无条件QTE的内曼-正交矩条件，捕获了异质性治疗效果的丰富模式。在此基础上，讨论了该矩的估计过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.