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A significant portion of information needs in web search target entities. These may come in different forms or flavours, ranging from short keyword queries to more verbose requests, expressed in natural language. We address the task of automatically annotating queries with target types from an ontology. The identified types can subsequently be used, e.g., for creating semantically more informed query and retrieval models, filtering results, or directing the requests to specific verticals. Our study makes the following contributions. First, we formalise the task of hierarchical target type identification, argue that it is best viewed as a ranking problem, and propose multiple evaluation metrics. Second, we develop a purpose-built test collection by hand-annotating over 300 queries, from various recent entity search benchmarking campaigns, with target types from the DBpedia ontology. Finally, we introduce and examine two baseline models, inspired by federated search techniques. We show that these methods perform surprisingly well when target types are limited to a flat list of top level categories; finding the right level of granularity in the hierarchy, however, is particularly challenging and requires further investigation.