Simon Freyaldenhoven - Federal Reserve Bank of Philadelphia

"(Visualizing) Plausible Treatment Effect Paths"

Abstract

We consider point estimation and inference for the treatment effect path of a policy. Examples include dynamic treatment effects in microeconomics, impulse response functions in macroeconomics, and event study paths in finance. We present two sets of plausible bounds to quantify and visualize the uncertainty associated with this object. Our first set of bounds uses data-driven degree of freedom restrictions on the treatment path. Post-selection Inference (Berk et al. [2013]) gives us formal coverage guarantees for these bounds. The chosen restrictions also imply novel point estimates that perform well across our simulations. Our second set of bounds imposes no restrictions but comes with coverage guarantees under an alternative (weaker) notion of coverage. Both plausible bounds are often substantially tighter than traditional confidence intervals, and can provide useful insights even when traditional (uniform) confidence bands appear uninformative.

Additional information:

  • Speaker: Simon Freyaldenhoven
  • Time: Thursday, 11.07.2024, 16:00 - 17:00
  • Location: Faculty Lounge, Room 0.036
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  • Organizer: Statistics Group
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