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dc.contributor.authorHuang, W.
dc.contributor.authorLinton, O.
dc.contributor.authorZhang, Z.
dc.date.accessioned2021-03-02T17:23:49Z
dc.date.available2021-03-02T17:23:49Z
dc.date.issued2021-02-16
dc.identifier.otherCWPE2113
dc.identifier.otherC-INET2107
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/318299
dc.description.abstractWe propose a general framework for the specification testing of continuous treatment effect models. We assume a general residual function, which includes the average and quantile treatment effect models as special cases. The null models are identified under the confoundedness condition and contain a nonparametric weighting function. We propose a test statistic for the null model in which the weighting function is estimated by solving an expanding set of moment equations. We establish the asymptotic distributions of our test statistic under the null hypothesis and under fixed and local alternatives. The proposed test statistic is shown to be more efficient than that constructed from the true weighting function and can detect local alternatives deviated from the null models at the rate of <em>O<sub>p</sub> (N<sup>-1/2</sup>)</em>. A simulation method is provided to approximate the null distribution of the test statistic. Monte-Carlo simulations show that our test exhibits a satisfactory finite-sample performance, and an application shows its practical value.
dc.publisherFaculty of Economics, University of Cambridge
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.relation.ispartofseriesCambridge-INET Working Paper Series
dc.rightsAll Rights Reserved
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/
dc.subjectConsistent tests
dc.subjectContinuous treatment effect
dc.subjectSeries estimation
dc.subjectBootstrap
dc.titleA Unified Framework for Specification Tests of Continuous Treatment Effect Models
dc.typeWorking Paper
dc.identifier.doi10.17863/CAM.65416


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