2022/02/24 by Xingyu Li, Yan Shen, Li, Xingyu +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Advanced Causal Inference Techniques #CDF-based nonparametric confidence interval #Confidence and prediction bands #Confidence distribution #Confidence interval #Coverage probability #Econometrics #Econometrics (econ.EM) #FOS: Economics and business #Mathematics #Panel data #Robust confidence intervals #Sample (material) #Sample size determination #Spatial and Panel Data Analysis #Statistics #econ.EM
paper · pdf · doi:10.48550/arxiv.2202.12078
arxiv created 2022/02/24 · openalex publication_date 2022/02/24 · arxiv updated 2022/02/25 · openalex created_date 2022/04/03 · openalex updated_date 2026/08/05
We consider the construction of confidence intervals for treatment effects estimated using panel models with interactive fixed effects. We first use the factor-based matrix completion technique proposed by Bai and Ng (2021) to estimate the treatment effects, and then use bootstrap method to construct confidence intervals of the treatment effects for treated units at each post-treatment period. Our construction of confidence intervals requires neither specific distributional assumptions on the error terms nor large number of post-treatment periods. We also establish the validity of the proposed bootstrap procedure that these confidence intervals have asymptotically correct coverage probabilities. Simulation studies show that these confidence intervals have satisfactory finite sample performances, and empirical applications using classical datasets yield treatment effect estimates of similar magnitudes and reliable confidence intervals.