On the relationship between prediction intervals, tests of sharp nulls and inference on realized treatment effects in settings with few treated units

We study how inference methods for settings with few treated units that rely on treatment effect homogeneity extend to alternative inferential targets when treatment effects are heterogeneous – namely, tests of sharp null hypotheses, inference on realized treatment effects, and prediction intervals. We show that inference methods for these alternative targets are deeply interconnected: they are either equivalent or become equivalent under additional assumptions. Our results show that methods designed under treatment effect homogeneity can remain valid for these alternative targets when treatment effects are stochastic, offering new theoretical justifications and insights on their applicability.