Related papers: Specification testing with grouped fixed effects

Generalized causal effect estimands, including the Mann-Whitney parameter and causal net benefit, provide flexible summaries of treatment effects in randomized experiments with non-Gaussian or multivariate outcomes. We develop a unified…

Every design choice will have different effects on different units. However traditional A/B tests are often underpowered to identify these heterogeneous effects. This is especially true when the set of unit-level attributes is…

This paper shows that the endogeneity test using the control function approach in linear instrumental variable models is a variant of the Hausman test. Moreover, we find that the test statistics used in these tests can be numerically…

We present a robust test for change-points in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on the two-sample U-quantile processes, in the case of short…

This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have…

Understanding statistical inference under possibly non-sparse high-dimensional models has gained much interest recently. For a given component of the regression coefficient, we show that the difficulty of the problem depends on the sparsity…

The estimation of the treatment effect is often biased in the presence of unobserved confounding variables which are commonly referred to as hidden variables. Although a few methods have been recently proposed to handle the effect of hidden…

We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test framework allows for linear and nonlinear models with…

In many social, behavioral, and biomedical sciences, treatment effect estimation is a crucial step in understanding the impact of an intervention, policy, or treatment. In recent years, an increasing emphasis has been placed on…

The Mann-Whitney effect is an effect measure for the order of two sample-specific outcome variables. It has the interpretation of a probability and also a connection to the area under the ROC curve. In the literature it has been considered…

This paper proposes a new class of nonparametric tests for the correct specification of models based on conditional moment restrictions, paying particular attention to generalized propensity score models. The test procedure is based on two…

This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged…

Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently…

We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific…

Tens of thousands of simultaneous hypothesis tests are routinely performed in genomic studies to identify differentially expressed genes. However, due to unmeasured confounders, many standard statistical approaches may be substantially…

We propose a bootstrap-based test to detect a mean shift in a sequence of high-dimensional observations with unknown time-varying heteroscedasticity. The proposed test builds on the U-statistic based approach in Wang et al. (2022), targets…

This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…

This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models. We propose a unified test procedure and its power enhancement version, which show robustness for a…

Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model…

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…