Confidence intervals of treatment effects in panel data models with interactive fixed effects

DOI10.1016/J.JECONOM.2024.105684arXiv2202.12078OpenAlexW4391627060WikidataQ128260943 ScholiaQ128260943MaRDI QIDQ6199627

Xingyu Li, Qiankun Zhou, Yan Shen

Publication date: 21 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/2202.12078

zbMATH Keywords

bootstrapconfidence intervalnonstationaritytreatment effectsinteractive fixed effectspanel data analysis

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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