A note on treatment effects: we are missing something on the tails

Abstract

In this article, I discuss the implications of uncertainty and risk in a system characterised by tail dependence in the context of intervention evaluation. I then consider the case where an exogenous event impacts the tail dependence structure of two variables and provide a rigorous econometric modelling framework for estimating such effects. The work highlights the importance of going beyond the classic average treatment effect and taking a more holistic approach in analysing experimental and quasi-experimental data to enrich our understanding of causes and effects in evaluation studies.

Keywords: Treatment Effects, Tail Dependence, Econometric Modeling, Intervention Evaluation, Holism