@article{e6337ee619554cac8cbc259711a7957d,
title = "Quantile-Based Test for Heterogeneous Treatment Effects",
abstract = "We introduce a permutation test for heterogeneous treatment effects based on the quantile process. However, tests based on the quantile process often suffer from estimated nuisance parameters that jeopardize their validity, even in large samples. To overcome this problem, we use Khmaladze's martingale transformation. We show that the permutation test based on the transformed statistic controls size asymptotically. Numerical evidence asserts the good size and power performance of our test procedure compared to other popular quantile-based tests. We discuss a fast implementation algorithm and illustrate our method using experimental data from a welfare reform.",
keywords = "heterogeneous treatment effects, permutation test, quantile treatment effects",
author = "Chung, \{Eun Yi\} and Mauricio Olivares",
note = "Funding: Mauricio Olivares acknowledges support from the European Research Council (Starting Grant No. 852332). This paper supersedes the paper by the authors that was circulated with the title Comment on “Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment.” Mauricio Olivares acknowledges support from the European Research Council (Starting Grant No. 852332). We are grateful to MDRC for granting access to the experimental data we use in this paper. All errors are our own. This paper supersedes the paper by the authors that was circulated with the title Mauricio Olivares acknowledges support from the European Research Council (Starting Grant No. 852332). We are grateful to MDRC for granting access to the experimental data we use in this paper. All errors are our own. Comment on “Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment.”",
year = "2025",
month = jan,
day = "1",
doi = "10.1002/jae.3093",
language = "English (US)",
volume = "40",
pages = "3--17",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "John Wiley \& Sons, Ltd.",
number = "1",
}