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Confidence intervals for the quantile of treatment effects in randomized experiments
Authors:Yanqin Fan  Sang Soo Park
Affiliation:1. Department of Economics, Vanderbilt University, VU Station B #351819, 2301 Vanderbilt Place, Nashville, TN 37235-1819, USA;2. Department of Economics, Korea University, Anam-dong, Sungbuk-gu, Seoul 136-701, Republic of Korea
Abstract:
In this paper, we explore partial identification and inference for the quantile of treatment effects for randomized experiments. First, we propose nonparametric estimators of sharp bounds on the quantile of treatment effects and establish their asymptotic properties under general conditions. Second, we construct confidence intervals for the bounds and the true quantile by using the approach in Chernozhukov et al. (2009). Third, under additional conditions, we develop a new approach to construct confidence intervals for the bounds and the true quantile and refer to it as the order statistic approach. A simulation study is conducted to investigate the finite sample performance of both approaches.
Keywords:C14   C15   C19
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