Jaime Ramirez-Cuellar
arXiv 3 Apr 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2304.01141 · PDF · DOI · OpenAlex · Extracted main text
This paper provides asymptotically valid tests for the null hypothesis of no treatment effect heterogeneity. Importantly, I consider the presence of heterogeneity that is not explained by observed characteristics, or so-called idiosyncratic heterogeneity. When examining this heterogeneity, common statistical tests encounter a nuisance parameter problem in the average treatment effect which renders the asymptotic distribution of the test statistic dependent on that parameter. I propose an asymptotically valid test that circumvents the estimation of that parameter using the empirical characteristic function. A simulation study illustrates not only the test's validity but its higher power in rejecting a false null as compared to current tests. Furthermore, I show the method's usefulness through its application to a microfinance experiment in Bosnia and Herzegovina. In this experiment and for outcomes related to loan take-up and self-employment, the tests suggest that treatment effect heterogeneity does not seem to be completely accounted for by baseline characteristics. For those outcomes, researchers could potentially try to collect more baseline characteristics to inspect the remaining treatment effect heterogeneity, and potentially, improve treatment targeting.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Koenker \ Xiao (2002) `Inference on the Quantile Regression Process', Econometrica 70(4), 1583–1612 | 1.000 | 8 | 3 | 100% |
| 2 | Ding, Feller \ Miratrix (2019) `Decomposing Treatment Effect Variation', Journal of the American Statistical Association 114(525), 304–317 | 1.000 | 6 | 3 | 100% |
| 3 | Crump, Hotz, Imbens \ Mitnik (2008) `Nonparametric Tests for Treatment Effect Heterogeneity', The Review of Economics and Statistics 90(3), 389–405 | 1.000 | 5 | 3 | 100% |
| 4 | Ding, Feller \ Miratrix (2016) `Randomization Inference for Treatment Effect Variation', Journal of the Royal Statistical Society: Series B (Statistical Method… | 0.987 | 26 | 6 | 96% |
| 5 | Henze, Klar \ Zhu (2005) `Checking the Adequacy of the Multivariate Semiparametric Location Shift Model', Journal of Multivariate Analysis 93(2), 238–256 | 0.982 | 19 | 5 | 95% |
| 6 | Chernozhukov \ Fernández-Val (2005) `Subsampling Inference on Quantile Regression Processes', Sankhyā: The Indian Journal of Statistics 67, 253–276 | 0.976 | 14 | 4 | 93% |
| 7 | Chung \ Olivares (2021) `Permutation test for heterogeneous treatment effects with a nuisance parameter', Journal of Econometrics 225(2), 148–174 | 0.935 | 11 | 5 | 82% |
| 8 | Augsburg, De Haas, Harmgart \ Meghir (2015) `The Impacts of Microcredit: Evidence from Bosnia and Herzegovina', American Economic Journal: Applied Economics 7(1), 183–203 | 0.920 | 9 | 3 | 78% |
| 9 | Meintanis (2005) `Permutation Tests for Homogeneity Based on the Empirical Characteristic Function', Nonparametric Statistics 17(5), 583–592 | 0.909 | 8 | 3 | 75% |
| 10 | Chen, Meintanis \ Zhu (2019) `On Some Characterizations and Multidimensional Criteria for Testing Homogeneity, symmetry and independence', Journal of Multiva… | 0.874 | 6 | 3 | 67% |
Showing the top 10 of 56 scored citations.