Consistent Tests for Conditional Treatment Effects
2012/02/17
研討會日期 : 2012-02-17
時間 : 14:30
主講人 : Professor Yu-Chin Hsu
地點 : Conference Room B110
演講者簡介 : Yu-Chin Hsu received his Ph.D. in Economics from University of Texas at Austin in 2010. He is currently serving as Assistant Professor of Economics at University of Missouri at Columbia. His research field is in econometrics, macroeconomics and game theory.
演講摘要 : We construct a Kolmogorov-Smirnov test for the null hypothesis that the average treatment effect is non-negative conditional on all possible values of the covariates. The null hypothesis of interest can be characterized as a conditional moment inequality under the unconfoundedness assumption, and we employ the instrumental variable method to convert the conditional moment inequality into an infinite number of unconditional moment inequalities without information loss. A Kolmogorov-Smirnov test is constructed based on these unconditional moment inequalities. It is shown that our test can control the size asymptotically, is consistent against fixed alternatives and is unbiased against some N−1/2 local alternatives. Furthermore, our test is more powerful than Lee and Whang’s (2009) against a broad set of N−1/2 local alternatives. Monte-Carlo simulation results confirm our theoretical findings. Several interesting extensions are also discussed.
