Supplement to "The sorted effects method: discovering heterogeneous effects beyond their averages"

Supplement to "The sorted effects method: discovering heterogeneous effects beyond their averages" Chernozhukov, Victor; Fernandez-Val, Ivan; Luo, Ye 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. Accepted manuscript full text available here: https://hdl.handle.net/2144/34409