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A note on variance estimation for the Oaxaca estimator of average treatment effects

Affiliation:	1. Department of Economics, University of Iowa, W284 Pappajohn Business Building, 21 E. Market Street, Iowa City, IA 52242, United States;2. CONICET-Universidad de San Andrés, Vito Dumas 284, Victoria, B1644, Provincia de Buenos Aires, Argentina;3. Department of Economics, University of Iowa, W360 Pappajohn Business Building, 21 E. Market Street, Iowa City, IA 52242, United States;1. International School of Economics and Management, Capital University of Economics and Business, Beijing 100070, PR China;2. Department of Agricultural Economics, Texas A&M University, College Station, TX 77843, USA;1. Madras School of Economics, Chennai, India;2. Southern Methodist University, Dallas, TX, USA

Abstract:	We derive the limiting distribution of the Oaxaca estimator of average treatment effects studied by Kline (2011). A consistent estimator of the asymptotic variance is proposed that makes use of standard regression routines. It is shown that ignoring uncertainty in group means will tend to lead to an overstatement of the asymptotic standard errors. Monte Carlo experiments examine the finite sample performance of competing approaches to inference.

Keywords:	Treatment effects Oaxaca decomposition Robust variance estimation
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