Bootstrap inference on a factor model based average treatment effects estimator

Luya Wang, Jeffrey Racine and Qiaoyu Wang

Econometric Reviews, 2025, vol. 44, issue 1, 80-89

Abstract: We propose a novel bootstrap procedure for conducting inference for factor model-based average treatment effects estimators. Our method overcomes bias inherent to existing bootstrap procedures and substantially improves upon existing large sample normal inference theory in small sample settings. The finite sample improvements arising from the use of our proposed procedure are illustrated via a set of Monte Carlo simulations, and formal justification for the procedure is outlined.

Date: 2025
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Working Paper: Bootstrap Inference on a Factor Model Based Average Treatment Effects Estimator (2024)
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DOI: 10.1080/07474938.2024.2390392

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