Permutation test for heterogeneous treatment effects with a nuisance parameter

EunYi Chung and Mauricio Olivares

Journal of Econometrics, 2021, vol. 225, issue 2, 148-174

Abstract: This paper proposes an asymptotically valid permutation test for heterogeneous treatment effects in the presence of an estimated nuisance parameter. Not accounting for the estimation error of the nuisance parameter results in statistics that depend on the particulars of the data generating process, and the resulting permutation test fails to control the Type 1 error, even asymptotically.

Keywords: Permutation test; Heterogeneous treatment effect; Martingale transformation; Multiple hypothesis testing; Westfall–Young (search for similar items in EconPapers)
JEL-codes: C12 C14 C46 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:225:y:2021:i:2:p:148-174

DOI: 10.1016/j.jeconom.2020.09.015

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