This paper provides asymptotically valid tests for the null hypothesis of no treatment effect heterogeneity. Importantly, I consider the presence of heterogeneity that is not explained by observed characteristics, or so-called idiosyncratic heterogeneity. When examining this heterogeneity, common statistical tests encounter a nuisance parameter problem in the average treatment effect which renders the asymptotic distribution of the test statistic dependent on that parameter. I propose an asymptotically valid test that circumvents the estimation of that parameter using the empirical characteristic function. A simulation study illustrates not only the test's validity but its higher power in rejecting a false null as compared to current tests. Furthermore, I show the method's usefulness through its application to a microfinance experiment in Bosnia and Herzegovina. In this experiment and for outcomes related to loan take-up and self-employment, the tests suggest that treatment effect heterogeneity does not seem to be completely accounted for by baseline characteristics. For those outcomes, researchers could potentially try to collect more baseline characteristics to inspect the remaining treatment effect heterogeneity, and potentially, improve treatment targeting.
翻译:本文提出了一种渐近有效的检验方法,用于检验无处理效应异质性的零假设。重要的是,考虑到未被观察到的异质性存在,即所谓的个体异质性。在考虑该异质性时,常见的统计检验会遇到在平均处理效应中存在信息熵参数问题,这使得检验统计量的渐近分布依赖于该参数。我提出了一种渐近有效的检验方法,旨在回避估计该参数,并使用经验特征函数来协助解决此问题。同时,通过模拟研究展示了该方法不仅有效而且相对于当前方法拥有更强的拒绝虚假零假设的能力。此外,我通过将该方法应用于波黑(Bosnia and Herzegovina)的一项小额信贷实验来展示其实用性。对于涉及贷款申请和自雇就业的结果,测试表明处理效应的异质性似乎没有完全被基线特征解释。对于这些结果,研究人员可以尝试收集更多的基线特征来检测剩余的处理效应异质性,并可能提高处理筛选的准确性。