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Estimation of the Local Conditional Tail Average Treatment Effect

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  • Le-Yu Chen
  • Yu-Min Yen

Abstract

The conditional tail average treatment effect (CTATE) is defined as a difference between the conditional tail expectations of potential outcomes, which can capture heterogeneity and deliver aggregated local information on treatment effects over different quantile levels and is closely related to the notion of second-order stochastic dominance and the Lorenz curve. These properties render it a valuable tool for policy evaluation. In this article, we study estimation of the CTATE locally for a group of compliers (local CTATE or LCTATE) under the two-sided noncompliance framework. We consider a semiparametric treatment effect framework under endogeneity for the LCTATE estimation using a newly introduced class of consistent loss functions jointly for the CTE and quantile. We establish the asymptotic theory of our proposed LCTATE estimator and provide an efficient algorithm for its implementation. We then apply the method to evaluate the effects of participating in programs under the Job Training Partnership Act in the United States.

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  • Le-Yu Chen & Yu-Min Yen, 2025. "Estimation of the Local Conditional Tail Average Treatment Effect," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(1), pages 241-255, January.
    • Handle: RePEc:taf:jnlbes:v:43:y:2025:i:1:p:241-255
    DOI: 10.1080/07350015.2024.2356731
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    2. Wei, Bo & Tan, Kean Ming & He, Xuming, 2024. "Estimation of complier expected shortfall treatment effects with a binary instrumental variable," Journal of Econometrics, Elsevier, vol. 238(2).

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