Is Fisher inference inferior to Neyman inference for policy analysis?

Rauf Ahmad, Per Johansson and Mårten Schultzberg
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Rauf Ahmad: Uppsala University
Mårten Schultzberg: Uppsala University

Statistical Papers, 2024, vol. 65, issue 6, No 4, 3425-3445

Abstract: Abstract The increasing computational power has led to an increasing interest in Fisher’s test in social science. As the Fisher and Neyman inference are based on different principles there is also an increasing interest in understanding the differential features of the two procedures. For example, Young (2018) found that the Fisher test has better size properties than the Neyman test in the situation with influential observations. Ding (2017), on the other hand, showed that the asymptotic variance of the mean-difference estimator (MDE) under Fisher inference is larger than that under Neyman inference, and that the asymptotic Fisher test is less powerful than the t-test even for the simplest case of homogeneous effect. Since MDE plays an important role for policy evaluation, these latter results are a concern for using Fisher’s test as argued in Young (2018). With the aim of providing an understanding of the usefulness of the exact Fisher test for inference to the sample and to the population, this paper clarifies the results in Ding (2017). Using a novel Monte Carlo simulation following the same data generating processes as in Ding (2017), we demonstrate that the Fisher test has no worse power properties than the t-test even with heterogeneous effects.

Keywords: t-statistic; Randomization test; Size; Power (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-024-01528-2

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