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

Pacini David ()
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Pacini David: Department of Economics, University of Bristol, Bristol, UK

Journal of Econometric Methods, 2019, vol. 8, issue 1, 4

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 (search for similar items in EconPapers)
JEL-codes: C18 C21 C52 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/jem-2018-0011

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