The Dynamics of Adolescent Depression: An Instrumental Variable Quantile Regression with Fixed Effects Approach

Summary The paper employs a recently developed instrumental variable approach for the estimation of dynamic quantile regression models with fixed effects to model the dynamics of health outcomes. Our proposed estimator not only allows us to control for individual-specific heterogeneity via fixed effects in the dynamic quantile regression framework but may also reduce the bias that exists in conventional fixed effects estimation of dynamic quantile regression models with small numbers of time periods. Using data on the children of the US National Longitudinal Survey of Youth 1979 cohort, we examine the extent of true state dependence in youth depression conditional on unobserved individual heterogeneity and family socio-economic status. Our results suggest that true state dependence in youth depression among the survey respondents is very low and the observed positive association between previous and current depression is mainly due to time invariant unobserved individual heterogeneity.