Supplement to "The Sorted Effects Method: Discovering Heterogeneous Effects Beyond their Averages"

This zip file contains the replication files for the manuscript. It also contains an online appendix. The supplementary material contains 7 appendices with additional results and some omitted proofs. Appendix C introduces some notation. Appendix D includes a brief review of differential geometry. Appendix E gathers the proofs of the key mathematical results in Appendix A. Appendix F provides sufficient conditions for the u-Donsker properties in Section 4. Appendix G extends the theoretical analysis to include discrete covariates. Appendices H and I report the results of 3 numerical simulations and an empirical application to the effect of race on mortgage denials, respectively.

Supplemental Authors: 
Chernozhukov, Victor - Massachusetts Institute of Technology
Fernandez-Val, Ivan - Boston University
Luo, Ye - University of Florida
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