Uniform Confidence Band for Marginal Treatment Effect Function

Toshiki Tsuda, Yanchun Jin and Ryo Okui

Papers from arXiv.org

Abstract: This paper presents a method for constructing uniform confidence bands for the marginal treatment effect function. Our approach visualizes statistical uncertainty, facilitating inferences about the function's shape. We derive a Gaussian approximation for a local quadratic estimator, enabling computationally inexpensive construction of these bands. Monte Carlo simulations demonstrate that our bands provide the desired coverage and are less conservative than those based on the Gumbel approximation. An empirical illustration is included.

Date: 2025-01
New Economics Papers: this item is included in nep-ecm
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