On the Size Distortion of a Test for Equality between the ATE and FE Estimands

David Pacini

doi:10.1515/jem-2018-0011

Article

On the Size Distortion of a Test for Equality between the ATE and FE Estimands

David Pacini

Published/Copyright: July 31, 2018

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From the journal Journal of Econometric Methods Volume 8 Issue 1

Abstract

This note investigates the numerical performance of an existing asymptotic test for the null hypothesis of equality between the average treatment effect (ATE) and the group fixed-effect (FE) estimands based on the standardized difference between ATE and FE estimators. It shows that this test has a size distortion. This distortion has implications to empirical economic research. It can lead to erroneously confirm the relevance of heterogeneous responses to policy interventions.

Keywords: difference test; grouped fixed effects; size distortion

JEL Classification: C21; C18; C52

Acknowledgement

I would like to thank Helene Turon, Chris Muris, and Yanos Zylberberg for useful suggestions.

References

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Published Online: 2018-07-31

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Articles in the same Issue

https://doi.org/10.1515/jem-2018-0011

Keywords for this article

difference test; grouped fixed effects; size distortion