{"title":"On the Size Distortion of a Test for Equality between the ATE and FE Estimands","authors":"David H. Pacini","doi":"10.1515/JEM-2018-0011","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2018-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2018-0011","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Econometric Methods","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/JEM-2018-0011","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
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Abstract
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.
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