News

Home

Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pair

Office of Alumni and External Relations    2020-11-27

Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pair

Guest: Xiaobin Liu, Assistant Professor, Zhejiang University

Host: Huang Wenxin, Assistant Professor, Antai

Time: Friday, Dec 4th, 2020, 09:30-11:00

Venue: A507, Antai Building, Zoom

Abstract:

This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). We derive the limit distribution of the QTE estimator under MPDs, highlighting the difficulties that arise in analytical inference due to parameter tuning. We show that the naive weighted bootstrap fails to approximate the limit distribution of the QTE estimator under MPDs because it ignores the dependence structure within the matched pairs. To address this difficulty we propose two bootstrap methods that can consistently approximate the limit distribution: the gradient bootstrap and the weighted bootstrap of the inverse propensity score weighted (IPW) estimator. The gradient bootstrap is free of tuning parameters but requires knowledge of the pair identities. The weighted bootstrap of the IPW estimator does not require such knowledge but involves one tuning parameter. Both methods are straightforward to implement and able to provide pointwise confidence intervals and uniform confidence bands that achieve exact limiting coverage rates. We demonstrate their finite sample performance using simulations and provide an empirical application to a well- known dataset in microfinance.

Bio

Dr. Xiaobin Liu is an assistant professor and faculty of the School of Economics, Zhejiang University. Dr. Liu’s research is the econometrics, Bayesian econometrics and financial econometrics. Dr. Liu has published his work on Journal of Econometrics. Before joining Zhejiang University, Dr. Liu received his Ph.D. from the Singapore Management University.


Tags:business school Shanghai,mba programs in China