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Permutation test for heterogeneous treatment effects with a nuisance parameter

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  • Chung, EunYi
  • Olivares, Mauricio

Abstract

This paper proposes an asymptotically valid permutation test for heterogeneous treatment effects in the presence of an estimated nuisance parameter. Not accounting for the estimation error of the nuisance parameter results in statistics that depend on the particulars of the data generating process, and the resulting permutation test fails to control the Type 1 error, even asymptotically.

Suggested Citation

  • Chung, EunYi & Olivares, Mauricio, 2021. "Permutation test for heterogeneous treatment effects with a nuisance parameter," Journal of Econometrics, Elsevier, vol. 225(2), pages 148-174.
    • Handle: RePEc:eee:econom:v:225:y:2021:i:2:p:148-174
    DOI: 10.1016/j.jeconom.2020.09.015
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    Cited by:

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    3. Stefano Bonnini & Getnet Melak Assegie & Kamila Trzcinska, 2024. "Review about the Permutation Approach in Hypothesis Testing," Mathematics, MDPI, vol. 12(17), pages 1-29, August.
    4. Julius Owusu, 2023. "Randomization Inference of Heterogeneous Treatment Effects under Network Interference," Papers 2308.00202, arXiv.org, revised Jan 2025.
    5. Jeffrey Smith, 2022. "Treatment Effect Heterogeneity," Evaluation Review, , vol. 46(5), pages 652-677, October.
    6. Young, Alwyn, 2024. "Asymptotically robust permutation-based randomization confidence intervals for parametric OLS regression," LSE Research Online Documents on Economics 120933, London School of Economics and Political Science, LSE Library.
    7. David M. Ritzwoller & Joseph P. Romano & Azeem M. Shaikh, 2024. "Randomization Inference: Theory and Applications," Papers 2406.09521, arXiv.org, revised Feb 2025.

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    More about this item

    Keywords

    Permutation test; Heterogeneous treatment effect; Martingale transformation; Multiple hypothesis testing; Westfall–Young;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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