Orthogonal Integrated Conditional Moment Tests for Treatment Effect Heterogeneity
处理效应异质性的正交积分条件矩检验AI 解读 ↓
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处理效应异质性的正交积分条件矩检验AI 解读 ↓
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We propose a nonparametric integrated conditional moment (ICM) test for treatment effect heterogeneity across subpopulations defined by a given covariate subvector. Under unconfoundedness, the null is recast as a conditional moment restriction based on a Neyman-orthogonal score, which reduces the first-order sensitivity of the empirical process to nuisance parameter estimation. The test statistics are constructed as continuous functionals of a marked empirical process. We establish a uniform feasible-to-oracle approximation and derive the asymptotic properties of these test statistics under the null and fixed alternatives. We further show that the test has nontrivial power against local alternatives converging to the null at the $n^{-1/2}$ rate, and develop an easy-to-implement multiplier bootstrap for feasible inference. We also develop extensions to tests of parametric CATE specifications and to settings with endogenous treatment and a binary instrument. Finally, we apply the proposed testing approach to study whether the effect of maternal smoking during pregnancy on infant birth weight varies with maternal age.
断点回归设计中的处理效应异质性检验
We propose a nonparametric test for unobserved treatment effect heterogeneity in regression discontinuity designs. Under the null of no unobserved heterogeneity, a transformed outcome that imputes treated potential outcomes for untreated units must have a continuous conditional distribution at the cutoff. We convert this implication into an integrated conditional-moment restriction using characteristic functions, thereby allowing the conditional local average treatment…
条件矩限制的局部稳健核设定检验
We develop kernel-based specification tests for semiparametric conditional moment models with high-dimensional nuisance parameters, extending existing conditional moment tests---which typically require asymptotically linear nuisance estimators---to accommodate modern machine-learning methods. The proposed locally robust kernel tests combine Neyman-orthogonal moments, cross-fitting, and reproducing kernel Hilbert space methods, yielding inference that is first-order…
用于模型检验的高斯过程方法
This paper proposes a Gaussian process (GP) approach for testing conditional moment restrictions. Tests are based on squared Neyman orthogonal function-parametric processes integrated with respect to a GP distribution. This methodology leads to a general unified framework of kernel-based tests having the following properties: (i) bootstrap tests are easy to implement in the presence of nuisance parameters (they are simple quadratic forms, and there is no need to reestimate…
一类潜在结果模型的识别与估计
This paper develops a class of potential outcomes models characterized by three main features: (i) Unobserved heterogeneity can be represented by a vector of potential outcomes and a type describing the manner in which an instrument determines the choice of treatment; (ii) The availability of an instrumental variable that is conditionally independent of unobserved heterogeneity; and (iii) The imposition of convex restrictions on the distribution of unobserved heterogeneity.…
含协变量的秩相似分位数断点回归:识别与推断
This study investigates the identification and inference of quantile treatment effects (QTEs) in a fuzzy regression discontinuity (RD) design under rank similarity . Unlike Frandsen et al. (2012, Journal of Econometrics 168, 382–395), who focus on QTEs only for the compliant subpopulation, our approach can identify QTEs and average treatment effect for the whole population at the threshold. We derived a new set of moment restrictions for the RD model by imposing a local rank…
连续处理效应的一致半参数有效估计
This article studies identification, estimation, and inference of general unconditional treatment effects models with continuous treatment under the ignorability assumption. We show identification of the parameters of interest, the dose–response functions, under the assumption that selection to treatment is based on observables. We propose a semiparametric two-step estimator, and consider estimation of the dose–response functions through moment restriction models with…