Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs

Liang Jiang, Xiaobin Liu, Peter Phillips and Yichong Zhang
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Liang Jiang: Singapore Management University
Xiaobin Liu: School of Economics, Academy of Financial Research, and Institute for Fiscal Big-Data & Policy of Zhejiang University
Yichong Zhang: Singapore Management University

No 2249, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). We derive the limit distribution of the QTE estimator under MPDs, highlighting the difficulties that arise in analytical inference due to parameter tuning. We show that the naive weighted bootstrap fails to approximate the limit distribution of the QTE estimator under MPDs because it ignores the dependence structure within the matched pairs.To address this difficulty we propose two bootstrap methods that can consistently approximate the limit distribution: the gradient bootstrap and the weighted bootstrap of the inverse propensity score weighted (IPW) estimator. The gradient bootstrap is free of tuning parameters but requires knowledge of the pair identities. The weighted bootstrap of the IPW estimator does not require such knowledge but involves one tuning parameter. Both methods are straightforward to implement and able to provide pointwise confidence intervals and uniform confidence bands that achieve exact limiting coverage rates. We demonstrate their finite sample performance using simulations and provide an empirical application to a well-known dataset in microfinance.

Keywords: Bootstrap inference; Matched pairs; Quantile treatment effect; Randomized control trials (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2020-08
New Economics Papers: this item is included in nep-exp, nep-ore and nep-sea
Note: Includes supplemental material
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (2024)
Working Paper: Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (2021)
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