
doi: 10.2139/ssrn.3740489
We study estimation of the conditional tail average treatment effect (CTATE), defined as a difference between conditional tail expectations of potential outcomes. The CTATE can capture heterogeneity and deliver aggregated local information of treatment effects over different quantile levels, and is closely related to the notion of second order stochastic dominance and the Lorenz curve. These properties render it a valuable tool for policy evaluations. We consider a semiparametric treatment effect framework under endogeneity for the CTATE estimation using a new class of consistent loss functions recently developed by Fissler and Ziegel (2016). We establish asymptotic theory of our proposed CTATE estimator and provide an efficient algorithm for its implementation. We then apply the method to the evaluation of effects from participating in programs of the Job Training Partnership Act in the US.
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