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Publication - Dr David Pacini

    On the Size Distortion of a Test for Equality between the ATE and FE Estimands

    Citation

    Pacini, D, 2018, ‘On the Size Distortion of a Test for Equality between the ATE and FE Estimands’. Journal of Econometric Methods, vol 8.

    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.

    Full details in the University publications repository