Simon Freyaldenhoven, Christian Hansen
arXiv 17 May 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2505.12014 · PDF · DOI · OpenAlex · Extracted main text
We consider point estimation and inference for the treatment effect path of a policy. Examples include dynamic treatment effects in microeconomics, impulse response functions in macroeconomics, and event study paths in finance. We present two sets of plausible bounds to quantify and visualize the uncertainty associated with this object. Both plausible bounds are often substantially tighter than traditional confidence intervals, and can provide useful insights even when traditional (uniform) confidence bands appear uninformative. Our bounds can also lead to markedly different conclusions when there is significant correlation in the estimates, reflecting the fact that traditional confidence bands can be ineffective at visualizing the impact of such correlation. Our first set of bounds covers the average (or overall) effect rather than the entire treatment path. Our second set of bounds imposes data-driven smoothness restrictions on the treatment path. Post-selection Inference (Berk et al. [2013]) provides formal coverage guarantees for these bounds. The chosen restrictions also imply novel point estimates that perform well across our simulations.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Richard Berk, Lawrence Brown, Andreas Buja, Kai Zhang, and Linda Zhao (2013) Valid post-selection inference | 1.000 | 8 | 4 | 100% |
| 2 | Mariano Bosch and Raymundo M Campos-Vazquez (2014) The trade-offs of welfare policies in labor markets with informal jobs: The case of the “seguro popular” program in Mexico | 0.644 | 4 | 1 | 100% |
| 3 | Regis Barnichon and Christian Matthes (2018) Functional approximation of impulse responses | 0.644 | 2 | 2 | 100% |
| 4 | Regis Barnichon and Christian Brownlees (2019) Impulse response estimation by smooth local projections | 0.644 | 2 | 2 | 100% |
| 5 | Christopher Genovese and Larry Wasserman (2008) Adaptive confidence bands | 0.644 | 2 | 2 | 100% |
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| 7 | Brantly Callaway and Pedro H.C. Sant’Anna (2021) Difference-in-differences with multiple time periods | 0.511 | 2 | 2 | 50% |
| 8 | Joachim Freyberger and Yoshiyasu Rai (2018) Uniform confidence bands: Characterization and optimality | 0.511 | 2 | 2 | 50% |
| 9 | Òscar Jordà (2023) Local projections for applied economics | 0.511 | 2 | 2 | 50% |
| 10 | José Luis Montiel Olea and Mikkel Plagborg-Mller (2019) Simultaneous confidence bands: Theory, implementation, and an application to SVARs | 0.511 | 2 | 2 | 50% |
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