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Journal of Econometric Methods

Ed. by Giacomini, Raffaella / Li, Tong

Mathematical Citation Quotient (MCQ) 2018: 0.06

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On the Size Distortion of a Test for Equality between the ATE and FE Estimands

David Pacini
Published Online: 2018-07-31 | DOI: https://doi.org/10.1515/jem-2018-0011


This note investigates the numerical performance of an existing asymptotic test for the null hypothesis of equality between the average treatment effect (ATE) and the group fixed-effect (FE) estimands based on the standardized difference between ATE and FE estimators. It shows that this test has a size distortion. This distortion has implications to empirical economic research. It can lead to erroneously confirm the relevance of heterogeneous responses to policy interventions.

Keywords: difference test; grouped fixed effects; size distortion

JEL Classification: C21; C18; C52


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About the article

Published Online: 2018-07-31

Citation Information: Journal of Econometric Methods, Volume 8, Issue 1, 20180011, ISSN (Online) 2156-6674, DOI: https://doi.org/10.1515/jem-2018-0011.

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