Testing Sign Agreement by Deborah Kim

Join us for this week's Econometrics Research Seminar, Summer Term 2025

Deborah Kim, from the University of Warwick, will present this week's seminar on Testing Sign Agreement.

Abstract

This article considers the problem of testing sign agreement of a finite number of means. This problem naturally emerges in numerous empirical contexts including detecting sign-opposing average treatment effects across subgroups in randomized controlled trials, testing external validity of local average treatment effects (LATE) across distinct subpopulations, and examining the testable implication of assumptions for LATE. For the null hypothesis that the means are all non-negative or all non-positive, I propose two novel statistical tests: the Least Favorable and the Hybrid tests. Both tests are the first to accommodate arbitrary dependence among estimators for any finite number of means and first to provide nonparametric bootstrap critical values. I show that both tests control their asymptotic sizes uniformly over a large class of nonparametric distributions. Results from simulation studies in finite samples indicate that rejection probabilities of both tests reach the nominal level under the null hypothesis. The Hybrid test exhibits higher power than the Least Favorable test when there are more than three means; this relationship reverses when considering only two means. I demonstrate the utility of both tests in an application inspired by Angelucci et al. (2015), in which I study the impacts of microloans on various groups and outcomes.

This seminar will be held on campus, is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.