Confidence intervals for the quantile of treatment effects in randomized experiments

Yanqin Fan and Sang Soo Park

Journal of Econometrics, 2012, vol. 167, issue 2, 330-344

Abstract: In this paper, we explore partial identification and inference for the quantile of treatment effects for randomized experiments. First, we propose nonparametric estimators of sharp bounds on the quantile of treatment effects and establish their asymptotic properties under general conditions. Second, we construct confidence intervals for the bounds and the true quantile by using the approach in Chernozhukov et al. (2009). Third, under additional conditions, we develop a new approach to construct confidence intervals for the bounds and the true quantile and refer to it as the order statistic approach. A simulation study is conducted to investigate the finite sample performance of both approaches.

Keywords: Heterogeneous treatment effects; Partial identification; Quantile treatment effects; Order statistic approach (search for similar items in EconPapers)
JEL-codes: C14 C15 C19 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:2:p:330-344

DOI: 10.1016/j.jeconom.2011.09.019

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