Compute standard errors

jeremylhour / CIC-asymptotics

Codes for Change-in-change Asymptotics project

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Compute standard errors #1

Closed jeremylhour closed 4 years ago

jeremylhour commented 4 years ago

Write code for computing standard errors using the formula in the paper

jeremylhour commented 4 years ago

Athey and Imbens (2006) have the same formula for the variance as us. But they made a change of variables, u = F_Z^{-1}(F_Y(t)) [Uploading cicsupp.pdf…]() to have more elegant formulas. Recall that to be consistent with their results we have:

Y = Y_{01},
Z = Y_{00},
X = Y_{10}.

Details of their implementation is in the enclosed document: https://athey.people.stanford.edu/sites/g/files/sbiybj5686/f/cicsupp.pdf