Local structural quantile effects in a model with a nonseparable control variable

I consider a semiparametric version of the nonseparable triangular model of Chesher [Chesher, A., 2003. identification in nonseparable models. Econometrica 71, 1405-1441]. The proposed model is linear in coefficients, where the coefficients are unknown functions of unobserved latent variables. Using a control variable idea and quantile regression methods, I propose a simple two-step estimator for the coefficients evaluated at particular values of the latent variables. Under the condition that the instruments are locally relevant (i.e. they affect a particular conditional quantile of interest of the endogenous variable) I establish consistency and asymptotic normality. Simulation experiments confirm the theoretical results. (c) 2009 Elsevier B.V. All rights reserved.