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 (MTE) function. The shape of the MTE function offers insight into how the unobserved propensity to receive treatment is related to the treatment effect. Our approach visualizes the statistical uncertainty of an estimated function, facilitating inferences about the function's shape. The proposed method is computationally inexpensive and requires only minimal information: sample size, standard errors, kernel function, and bandwidth. This minimal data requirement enables applications to both new analyses and published results without access to original data. We derive a Gaussian approximation for a local quadratic estimator and consider the approximation of the distribution of its supremum in polynomial order. 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 regarding the returns to education is included.

Date: 2025-01, Revised 2025-09
New Economics Papers: this item is included in nep-ecm
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