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Testing for Essential Heterogeneity in the Marginal Treatment Effects Model
Yuhao Li, Minghai Mao, Xiaojun Song
We propose a test for essential heterogeneity in the marginal treatment effects model without imposing additive separability. On the observed support of the propensity score, no es…
Uniform Inference for Parameters Identified by Conditional Quantile Restrictions
Xuqing Lin, Xiaojun Song
Many structural and dynamic economic models imply that key parameters are identified by conditional quantile restrictions. Building on the exponential-weighting approach of Bierens…
Kernel Minimum Distance Estimation and Testing with Conditional Moment Restrictions: A Unified Framework
Yuhao Li, Haokun Lu, Xiaojun Song
We propose a unified Kernel Minimum Distance (KMD) framework for estimating and testing models defined by conditional moment restrictions. By embedding conditional moments into a R…
Orthogonal Integrated Conditional Moment Tests for Treatment Effect Heterogeneity
Haokun Lu, Xiaojun Song
We propose a nonparametric integrated conditional moment (ICM) test for treatment effect heterogeneity across subpopulations defined by a given covariate subvector. Under unconfoun…