Inference on Winners

• 成果类型: Article
• 署名作者: Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam
• 署名单位: Massachusetts Institute of Technology (MIT); Brown University; University of Colorado System; University of Colorado Boulder
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjad043
• 发表日期: 2024
• 页码: 305-358
• 关键词: Post-selection Inference; neighborhoods; impacts; curse

摘要

Policy makers, firms, and researchers often choose among multiple options based on estimates. Sampling error in the estimates used to guide choice leads to a winner's curse, since we are more likely to select a given option precisely when we overestimate its effectiveness. This winner's curse biases our estimates for selected options upward and can invalidate conventional confidence intervals. This article develops estimators and confidence intervals that eliminate this winner's curse. We illustrate our results by studying selection of job-training programs based on estimated earnings effects and selection of neighborhoods based on estimated economic opportunity. We find that our winner's curse corrections can make an economically significant difference to conclusions but still allow informative inference.