Robust Inference for Weighted Estimands

Researchers often conduct inference on weighted estimands, defined as weighted averages of group-level effects.

Example settings include event studies with cohort-level effects and experiments with site-level effects.

Under heterogeneous effects, different weighting schemes yield estimands with distinct empirical and policy interpretations, leading to ambiguity and disagreement over the choice of weights.

I establish bounds on differences between weighted estimands and confidence bounds on effect heterogeneity, which I use to construct estimators that minimize worst-case bias and confidence intervals that are uniformly valid over classes of weighted estimands.

I apply these methods to an event study in Lakdawala, Nakasone, and Kho (2023), which studies the effects of school-based internet access on test scores.

I find that results are robust to broad classes of weights.

I then apply the methods to Tennessee's Project STAR experiment and find that results are sensitive to small departures from baseline weights.