Two-stage regression quantiles and two-stage trimmed least squares estimators for structural equation models

Chen, Lin-An; Portnoy, Stephen

doi:10.1080/03610929608831745

Cited by 53 publications

(46 citation statements)

References 11 publications

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“…We do not report them because the instruments we use are only arguably exogenous. We used the two-stage QR approach of Chen and Portnoy (1996), based on Powell (1983) early work.…”

Section: Discussionmentioning

confidence: 99%

Heterogeneous returns to education over the wage distribution: Who profits the most?

Balestra

Backes‐Gellner

2017

Labour Economics

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This study presents evidence of heterogeneous returns to education over the wage distribution. The authors use instrumental variable quantile regression and data from the Swiss Labor Force Survey to identify the causal link between education and wages at different quantiles of the conditional distribution of wages. The results provide evidence that there is no unique causal effect of schooling and that for each individual the effect may deviate from those extensively documented by ordinary least squares or two-stage least squares. In particular, while ordinary quantile regression estimates increasing returns in the quantile index, once the endogeneity of schooling is taken into account the authors instead observe higher returns at lower quantiles of the wage distribution. Interpreting the quantile index as a measure of unobserved ability, the results suggest that higher-ability individuals have higher wages, but the slope of their wage-education profile is flatter than that for lowerability individuals.

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“…We do not report them because the instruments we use are only arguably exogenous. We used the two-stage QR approach of Chen and Portnoy (1996), based on Powell (1983) early work.…”

Section: Discussionmentioning

confidence: 99%

Heterogeneous returns to education over the wage distribution: Who profits the most?

Balestra

Backes‐Gellner

2017

Labour Economics

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“…Amemiya (1982) and its extension to quantile regression by Chen and Portnoy (1996) inconsistent. The inconsistency was first demonstrated by Chernozhukov and Hansen (2001).…”

Section: A Potential Outcomes and The Quantile Treatment Effectsmentioning

confidence: 99%

The Effects of 401(K) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis

Chernozhukov

Hansen

2004

Review of Economics and Statistics

164

275

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Abstract-We use instrumental quantile regression approach to examine the effects of 401(k) plans on wealth using data from the Survey of Income and Program Participation. Using 401(k) eligibility as an instrument for 401(k) participation, we estimate the quantile treatment effects of participation in a 401(k) plan on several measures of wealth. The results show the effects of 401(k) participation on net financial assets are positive and significant over the entire range of the asset distribution, and that the increase in the low tail of the assets distribution appears to translate completely into an increase in wealth. However, there is significant evidence of substitution from other forms of wealth in the upper tail of the distribution.

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“…Amemiya (1982) was the first to seriously consider quantile regression methods for the structural equation model showing the consistency and asymptotic normality of a class of two-stage median regression estimators. Subsequent work of Powell (1983) and Chen and Portnoy (1996) extended this approach, but maintained the focus primarily on the conditional median problem. Recent work has sought to broaden the perspective.…”

Section: Introductionmentioning

confidence: 99%

Quantile regression methods for recursive structural equation models

Ma¹,

Koenker²

2004

Working Paper Series

114

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Abstract. Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation method. The latter imposes stronger restrictions achieving an asymptotic efficiency bound with respect to the former class. An application of the methods to the study of the effect of class size on the performance of Dutch primary school students shows that (i.) reductions in class size are beneficial for good students in language and for weaker students in mathematics, (ii) larger classes appear beneficial for weaker language students, and (iii.) the impact of class size on both mean and median performance is negligible.

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Two-stage regression quantiles and two-stage trimmed least squares estimators for structural equation models

Cited by 53 publications

References 11 publications

Heterogeneous returns to education over the wage distribution: Who profits the most?

Heterogeneous returns to education over the wage distribution: Who profits the most?

The Effects of 401(K) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis

Quantile regression methods for recursive structural equation models

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