题目：Inferences for Partially Conditional Quantile Treatment Effect Model

主讲人：厦门大学 方颖教授

主持人：西南财经大学统计学院 常晋源教授

时间：2020年5月12日（星期二）14:30-15:50

直播平台及会议ID：腾讯会议，203 654 225

报告摘要：

In this paper, a new model, termed as the partially conditional quantile treatment effect (PCQTE) model, is proposed to characterize the heterogeneity of treatment effect conditional on some predetermined variable(s). We show that the partially conditional quantile treatment effect is identified under the assumption of selection on observables, which leads to a semiparametric estimation procedure in two steps: first, parametric estimation of the propensity score function and then, nonparametric estimation of conditional quantile treatment effect. Under some regularity conditions, the consistency and asymptotic normality of the proposed semiparametric estimator are derived. More importantly, a specification test is seminally proposed in quantile regression literature, to test whether there exits heterogeneity for PCQTE across sub-populations based on the Cramer-von Mises type criterion. The asymptotic properties of the proposed test statistic are investigated, including consistency and asymptotic normality. Finally, the performance of the proposed methods is illustrated through Monte Carlo experiments and an empirical application on estimating the effect of the first-time mother’s smoking during pregnancy on the baby’s birth weight conditional on mother’s age and testing whether the partially conditional quantile treatment effect varies across different mother’s age.

主讲人简介：

方颖，经济学博士，厦门大学王亚南经济DB视讯(中国)与经济学院教授，国家杰出青年科学基金取得者，享受国务院特殊津贴。主要研究方向包括计量经济学理论与应用、金融计量经济学、金融政策与环境经济政策评估等，在Journal of Business and Economic Statistics、Journal of Econometrics、《经济研究》和《管理科学学报》等国内外学术期刊发表40余篇学术论文。