TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT
提出非参数检验方法，用于检验连续处理变量在不同水平下的效应是否相同，包括检验效应是否为零，并应用于小额贷款需求利率弹性研究。
This paper provides nonparametric tests for hypotheses about the effects of a continuous treatment variable in a nonseparable structural equation. Specifically, we consider local average responses and average partial effects and test whether these effects are identical across different levels of treatment, including testing whether they are zero for all treatment levels as a special case. Our tests are based on consistent procedures of Bierens (1982, Journal of Econometrics 20, 105–134; 1990, Econometrica 58, 1443–1458) and Stinchcombe and White (1998, Econometric Theory 14, 295–324). The tests are easy to implement and achieve n -1/2 local power. Monte Carlo simulations show that the tests perform well in finite samples. We apply our tests to study the interest rate elasticities of loan demand in microfinance. We also extend our testing procedures to covariate-conditioned average effects and marginal effects.