Robust estimation of average treatment effects from panel data

Sayoni Roychowdhury, Indrila Ganguly and Abhik Ghosh ()
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Sayoni Roychowdhury: Indian Statistical Institute
Indrila Ganguly: North Carolina State University
Abhik Ghosh: Indian Statistical Institute

Statistical Papers, 2024, vol. 65, issue 1, No 7, 139-179

Abstract: Abstract In order to evaluate the impact of a policy intervention on a group of units over time, it is important to correctly estimate the average treatment effect (ATE) measure. Due to lack of robustness of the existing procedures of estimating ATE from panel data, in this paper, we introduce a robust estimator of the ATE and the subsequent inference procedures using the popular approach of minimum density power divergence inference. Asymptotic properties of the proposed ATE estimator are derived and used to construct robust test statistics for testing parametric hypotheses related to the ATE. Besides asymptotic analyses of efficiency and power, extensive simulation studies are conducted to study the finite-sample performances of our proposed estimation and testing procedures under both pure and contaminated data. The robustness of the ATE estimator is further investigated theoretically through the influence function analyses. Finally our proposal is applied to study the long-term economic effects of the 2004 Indian Ocean earthquake and tsunami on the (per-capita) gross domestic products (GDP) of five mostly affected countries, namely Indonesia, Sri Lanka, Thailand, India and Maldives.

Keywords: Density power divergence; Robust inference; Panel data; Influence function; Tsunami and GDP (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-022-01389-7

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