A Causal Bootstrap
The bootstrap, introduced by Efron (1982), has become a very popular method for estimating variances and constructing confidence intervals. A key insight is that one can approximate the properties of estimators by using the empirical distribution function of the sample as an approximation for the true distribution function. This approach views the uncertainty in the estimator as coming exclusively from sampling uncertainty. We argue that for causal estimands the uncertainty arises entirely, or partially, from a different source, corresponding to the stochastic nature of the treatment received. We develop a bootstrap procedure that accounts for this uncertainty, and compare its properties to that of the classical bootstrap.
The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
I have consulted for Microsoft Corporation, Facebook, Amazon, and Lilly Corporation.