Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence
弱依赖高维动态面板中的异质性处理效应推断
This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the base treatment variable with explanatory variables. The first step of our procedure is orthogonalization, where we partial out the controls and unit effects from the outcome and the base…