Testing for unobserved heterogeneous treatment effects in a nonseparable model with endogenous selection

35 Pages Posted: 21 Nov 2016 Last revised: 20 Mar 2018

See all articles by Yu-Chin Hsu

Yu-Chin Hsu

Academia Sinica, Institute of Economics

Ta-Cheng Huang

Texas A&M University

Haiqing Xu

Department of Economics, University of Texas at Austin

Date Written: February 25, 2018

Abstract

Unobserved heterogeneous treatment effects have been emphasized in the policy evaluation literature. This paper proposes a nonparametric test for unobserved heterogeneous treatment effects in a general framework, allowing for self–selection to the treatment. The proposed modified Kolmogorov-Smirnov-type test is consistent and simple to implement. Monte Carlo simulations show that our test performs well in finite samples. For illustration, we apply our test to study heterogeneous treatment effects of the Job Training Partnership Act on earnings and the impacts of fertility on family income.

Keywords: Specification test, nonseparability, unobserved heterogeneous treatment effects

JEL Classification: C12, C14, C31

Suggested Citation

Hsu, Yu-Chin and Huang, Ta-Cheng and Xu, Haiqing, Testing for unobserved heterogeneous treatment effects in a nonseparable model with endogenous selection (February 25, 2018). Available at SSRN: https://ssrn.com/abstract=2872508 or http://dx.doi.org/10.2139/ssrn.2872508

Yu-Chin Hsu

Academia Sinica, Institute of Economics ( email )

Nankang
Taipei, 11529
Taiwan

Ta-Cheng Huang (Contact Author)

Texas A&M University ( email )

College Station, TX 77843
United States

Haiqing Xu

Department of Economics, University of Texas at Austin ( email )

Austin, TX 78712
United States

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