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Nonparametric tests of conditional treatment effects

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  • Sokbae 'Simon' Lee

    ()
    (Institute for Fiscal Studies and University College London)

  • Yoon-Jae Whang

    (Institute for Fiscal Studies and Seoul National University)

Abstract

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment and control groups; ii) the null hypothesis that the conditional average treatment effect is positive for each value of covariates; and (iii) the null hypothesis of no distributional (or average) treatment effect conditional on covariates against a one-sided (or two-sided) alternative hypothesis. The test statistics are based on L1-type functionals of uniformly consistent nonparametric kernel estimators of conditional expectations that characterize the null hypotheses. Using the Poissionization technique of Giné et al. (2003), we show that suitably studentized versions of our test statistics are asymptotically standard normal under the null hypotheses and also show that the proposed nonparametric tests are consistent against general fixed alternatives. Furthermore, it turns out that our tests have non-negligible powers against some local alternatives that are n−½ different from the null hypotheses, where n is the sample size. We provide a more powerful test for the case when the null hypothesis may be binding only on a strict subset of the support and also consider an extension to testing for quantile treatment effects. We illustrate the usefulness of our tests by applying them to data from a randomized, job training program (LaLonde, 1986) and by carrying out Monte Carlo experiments based on this dataset.

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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP36/09.

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Date of creation: Dec 2009
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Handle: RePEc:ifs:cemmap:36/09

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Citations

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Cited by:
  1. Le-Yu Chen & Jerzy Szroeter, 2012. "Testing multiple inequality hypotheses: a smoothed indicator approach," CeMMAP working papers CWP16/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE.
  3. Huber, Martin & Lechner, Michael & Wunsch, Conny, 2013. "The performance of estimators based on the propensity score," Journal of Econometrics, Elsevier, vol. 175(1), pages 1-21.
  4. Sokbae 'Simon' Lee & Kyungchul Song & Yoon-Jae Whang, 2011. "Testing functional inequalities," CeMMAP working papers CWP12/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Donald, Stephen G. & Hsu, Yu-Chin, 2014. "Estimation and inference for distribution functions and quantile functions in treatment effect models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 383-397.
  6. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
  7. Fan, Yanqin & Park, Sang Soo, 2014. "Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV," Journal of Econometrics, Elsevier, vol. 178(P1), pages 45-56.

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