The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages

17 Dec 2015 Victor Chernozhukov Ivan Fernandez-Val Ye Luo

The partial (ceteris paribus) effects of interest in nonlinear and interactive linear models are heterogeneous as they can vary dramatically with the underlying observed or unobserved covariates. Despite the apparent importance of heterogeneity, a common practice in modern empirical work is to largely ignore it by reporting average partial effects (or, at best, average effects for some groups)... (read more)

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