This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions...

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...

This paper analyzes estimators based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006) under the local quantile treatment effects (LQTE) framework (Abadie et al., 2002). I show that the quantile treatment effect (QTE) estimators in the IVQR...

We develop a nonparametric instrumental variable approach for the estimation of average treatment effects on hazard rates and conditional survival probabilities, without model structure. We derive constructive identification proofs for average treatment effects under noncompliance and dynamic...

We develop a nonparametric instrumental variable approach for the estimation of average treatment effects on hazard rates and conditional survival probabilities, without model structure.We derive constructive identification proofs for average treatment effects under noncompliance and dynamic...

This paper develops a novel wild bootstrap procedure to construct robust bias-corrected (RBC) valid confidence intervals (CIs) for fuzzy regression discontinuity designs, providing an intuitive complement to existing RBC methods. The CIs generated by this procedure are valid under conditions...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the...

This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for possibly discrete or mixed discrete-continuous random variables. The construction is generic and does not depend on the nature of the underlying problem. It works in conjunction...