EconPapers    
Economics at your fingertips  
 

A Unified Framework for Specification Tests of Continuous Treatment Effect Models

Wei Huang, Oliver Linton () and Zheng Zhang

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: We propose a general framework for the specification testing of continuous treatment effect models. We assume a general residual function, which includes the average and quantile treatment effect models as special cases. The null models are identified under the confoundedness condition and contain a nonparametric weighting function. We propose a test statistic for the null model in which the weighting function is estimated by solving an expanding set of moment equations. We establish the asymptotic distributions of our test statistic under the null hypothesis and under fixed and local alternatives. The proposed test statistic is shown to be more efficient than that constructed from the true weighting function and can detect local alternatives deviated from the null models at the rate of Op (N-1/2). A simulation method is provided to approximate the null distribution of the test statistic. Monte-Carlo simulations show that our test exhibits a satisfactory finite-sample performance, and an application shows its practical value.

Keywords: Consistent tests; Continuous treatment effect; Series estimation; Bootstrap (search for similar items in EconPapers)
JEL-codes: C10 C11 C12 (search for similar items in EconPapers)
Date: 2021-02-16
New Economics Papers: this item is included in nep-ore
Note: obl20
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe2113.pdf

Related works:
Working Paper: A Unified Framework for Specification Tests of Continuous Treatment Effect Models (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:2113

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer ().

 
Page updated 2022-12-03
Handle: RePEc:cam:camdae:2113