Bootstrap inference on a factor model based average treatment effects estimator

We propose a novel bootstrap procedure for conducting inference for factor model-based average treatment effects estimators. Our method overcomes bias inherent to existing bootstrap procedures and substantially improves upon existing large sample normal inference theory in small sample settings. The finite sample improvements arising from the use of our proposed procedure are illustrated via a set of Monte Carlo simulations, and formal justification for the procedure is outlined.

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Publication Details

Journal
Econometric Reviews
Published
2024-09-02
DOI
https://doi.org/10.1080/07474938.2024.2390392
Primary Topic
Terrorism, Counterterrorism, and Political Violence
Type
article
Field-Weighted Citation Impact
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article

Bootstrap inference on a factor model based average treatment effects estimator

Qiaoyu Wang, Jeffrey S. Racine, Luya Wang
Econometric Reviews
Terrorism, Counterterrorism, and Political Violence
article

Bootstrap inference on a factor model based average treatment effects estimator

Qiaoyu Wang, Jeffrey S. Racine, Luya Wang
article en

Abstract

We propose a novel bootstrap procedure for conducting inference for factor model-based average treatment effects estimators. Our method overcomes bias inherent to existing bootstrap procedures and substantially improves upon existing large sample normal inference theory in small sample settings. The finite sample improvements arising from the use of our proposed procedure are illustrated via a set of Monte Carlo simulations, and formal justification for the procedure is outlined.

Econometric ReviewsVol. 44(1)
Capital University of Economics and Business (CN), McMaster University (CA)
Openalex Percentile: Top 77%
Terrorism, Counterterrorism, and Political Violence
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