Significance test for semiparametric conditional average treatment effects and other structural functions

The paper investigates a hypothesis testing problem concerning the potential additional contributions of other covariates to the structural function, given the known covariates. The structural function is the conditional expectation given covariates in which the response may depend on unknown nuisance functions. It includes classic regression functions and the conditional average treatment effects as illustrative instances. Based on Neyman's orthogonality condition, the proposed distance-based test exhibits the quasioracle property in the sense that the nuisance function asymptotically does not influence on the limiting distributions of the test statistic under both the null and alternatives. This novel test can effectively detect the local alternatives distinct from the null at the fastest possible rate in hypothesis testing. This is particularly noteworthy given the involvement of nonparametric estimation of the conditional expectation. Numerical studies are conducted to examine the performance of the test. In the real data analysis section, the proposed tests are applied to identify significantly explanatory covariates that are associated with AIDS treatment effects, yielding noteworthy insights. (c) 2023 Elsevier B.V. All rights reserved.