Causal Inference for Heterogeneous Extreme Quantiles with Heavy-Tailed Outcomes
重尾结果下异质极端分位数的因果推断
We propose a framework for estimating conditional extreme quantile treatment effects (CEQTEs) in observational studies with heavy-tailed outcomes. Our procedure first estimates intermediate conditional quantiles using inverse-probability-weighted (IPW) quantile regression and then extrapolates them to extreme levels using extreme value theory. Under a linear conditional quantile model, we show that the conditional and marginal distributions of each potential outcome share a…