On the Size Distortion of a Test for Equality between the ATE and FE Estimands

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Abstract

This note investigates the numerical performance of an existing asymptotic test for the null hypothesis of equality between the average treatment effect (ATE) and the group fixed-effect (FE) estimands based on the standardized difference between ATE and FE estimators. It shows that this test has a size distortion. This distortion has implications to empirical economic research. It can lead to erroneously confirm the relevance of heterogeneous responses to policy interventions.
Original languageEnglish
Article number20180011
Number of pages4
JournalJournal of Econometric Methods
Volume8
Issue number1
DOIs
Publication statusPublished - 31 Jul 2018

Structured keywords

  • ECON Econometrics
  • ECON CEPS Data

Keywords

  • difference test
  • grouped fixed effects
  • size distortion
  • C21
  • C18
  • C52

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