Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations

Liang Jiang, Peter Phillips, Yubo Tao and Yichong Zhang

Journal of Econometrics, 2023, vol. 234, issue 2, 758-776

Abstract: Datasets from field experiments with covariate-adaptive randomizations (CARs) usually contain extra covariates in addition to the strata indicators. We propose to incorporate these additional covariates via auxiliary regressions in the estimation and inference of unconditional quantile treatment effects (QTEs) under CARs. We establish the consistency and limit distribution of the regression-adjusted QTE estimator and prove that the use of multiplier bootstrap inference is non-conservative under CARs. The auxiliary regression may be estimated parametrically, nonparametrically, or via regularization when the data are high-dimensional. Even when the auxiliary regression is misspecified, the proposed bootstrap inferential procedure still achieves the nominal rejection probability in the limit under the null. When the auxiliary regression is correctly specified, the regression-adjusted estimator achieves the minimum asymptotic variance. We also discuss forms of adjustments that can improve the efficiency of the QTE estimators. The finite sample performance of the new estimation and inferential methods is studied in simulations, and an empirical application to a well-known dataset concerned with expanding access to basic bank accounts on savings is reported.

Keywords: Covariate-adaptive randomization; High-dimensional data; Regression adjustment; Quantile treatment effects (search for similar items in EconPapers)
JEL-codes: C14 C21 D14 G21 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (2022)
Working Paper: Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:234:y:2023:i:2:p:758-776

DOI: 10.1016/j.jeconom.2022.08.010

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