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New Evidence on Linear Regression and Treatment Effect Heterogeneity

  • Słoczyński, Tymon

In this paper I provide new evidence on the implications of treatment effect heterogeneity for least squares estimation when the effects are inappropriately assumed to be homogenous. I prove that under a set of benchmark assumptions linear regression provides a consistent estimator of the population average treatment effect on the treated times the population proportion of the nontreated individuals plus the population average treatment effect on the nontreated times the population proportion of the treated individuals. Consequently, in many empirical applications the linear regression estimates might not be close to any of the standard average treatment effects of interest.

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File URL: http://mpra.ub.uni-muenchen.de/39524/1/MPRA_paper_39524.pdf
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File URL: http://mpra.ub.uni-muenchen.de/60810/8/MPRA_paper_60810.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 39524.

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Date of creation: 27 Jun 2012
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Handle: RePEc:pra:mprapa:39524
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  1. Fortin, Nicole & Lemieux, Thomas & Firpo, Sergio, 2011. "Decomposition Methods in Economics," Handbook of Labor Economics, Elsevier.
  2. LaLonde, Robert J, 1986. "Evaluating the Econometric Evaluations of Training Programs with Experimental Data," American Economic Review, American Economic Association, vol. 76(4), pages 604-20, September.
  3. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Nonparametric Tests for Treatment Effect Heterogeneity," Working Papers 0609, University of Miami, Department of Economics.
  4. James J. Heckman, 2001. "Micro Data, Heterogeneity, and the Evaluation of Public Policy: Nobel Lecture," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 673-748, August.
  5. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2000. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," NBER Technical Working Papers 0251, National Bureau of Economic Research, Inc.
  6. Joshua D. Angrist, 1995. "Estimating the Labor Market Impact of Voluntary Military Service Using Social Security Data on Military Applicants," NBER Working Papers 5192, National Bureau of Economic Research, Inc.
  7. Djebbari, Habiba & Smith, Jeffrey, 2008. "Heterogeneous impacts in PROGRESA," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 64-80, July.
  8. Richard Blundell & Monica Costa Dias, 2002. "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers CWP10/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Markus Frölich & Blaise Melly, 2013. "Unconditional Quantile Treatment Effects Under Endogeneity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 346-357, July.
  10. Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society.
  11. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2003. "What Mean Impacts Miss: Distributional Effects of Welfare Reform Experiments," Working Papers 109, RAND Corporation Publications Department.
  12. Barsky R. & Bound J. & Charles K.K. & Lupton J.P., 2002. "Accounting for the Black-White Wealth Gap: A Nonparametric Approach," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 663-673, September.
  13. Katrine V. L�ken & Magne Mogstad & Matthew Wiswall, 2012. "What Linear Estimators Miss: The Effects of Family Income on Child Outcomes," American Economic Journal: Applied Economics, American Economic Association, vol. 4(2), pages 1-35, April.
  14. Ben Jann, 2008. "The Blinder–Oaxaca decomposition for linear regression models," Stata Journal, StataCorp LP, vol. 8(4), pages 453-479, December.
  15. Patrick Kline, 2011. "Oaxaca-Blinder as a Reweighting Estimator," American Economic Review, American Economic Association, vol. 101(3), pages 532-37, May.
  16. Dan A. Black & Jeffrey A. Smith & Mark C. Berger & Brett J. Noel, 2003. "Is the Threat of Reemployment Services More Effective Than the Services Themselves? Evidence from Random Assignment in the UI System," American Economic Review, American Economic Association, vol. 93(4), pages 1313-1327, September.
  17. Roland G. Fryer, Jr. & Steven D. Levitt, 2002. "Understanding the Black-White Test Score Gap in the First Two Years of School," NBER Working Papers 8975, National Bureau of Economic Research, Inc.
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