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Model averaging in semiparametric estimation of treatment effects

Kitagawa, T; Muris, C; (2016) Model averaging in semiparametric estimation of treatment effects. Journal of Econometrics , 193 (1) pp. 271-289. 10.1016/j.jeconom.2016.03.002. Green open access

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Abstract

Choosing the covariates and functional form of the propensity score is an important choice for estimating treatment effects. This paper proposes a data-driven way of averaging the estimators over candidate specifications to resolve the specification uncertainty in the propensity score weighting estimation of the ATT. The proposed procedures minimize the estimated MSE of the ATT estimator in a local asymptotic framework. We formulate model averaging as a statistical decision problem in a limit experiment, and derive an averaging scheme that is Bayes optimal with respect to a given prior. The averaging estimator outperforms selection estimators and the estimators in any of the candidate models in terms of Bayes asymptotic MSE. Our Monte Carlo studies illustrate the size of the MSE gains. We apply the averaging procedure to evaluate the effect of a labor market program.

Type: Article
Title: Model averaging in semiparametric estimation of treatment effects
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.jeconom.2016.03.002
Publisher version: http://dx.doi.org/10.1016/j.jeconom.2016.03.002
Language: English
Additional information: Copyright © 2016. This manuscript version is published under a Creative Commons Attribution Non-commercial Non-derivative 4.0 International licence (CC BY-NC-ND 4.0). This licence allows you to share, copy, distribute and transmit the work for personal and non-commercial use providing author and publisher attribution is clearly stated. Further details about CC BY licences are available at http://creativecommons.org/licenses/by/4.0.
Keywords: Treatment effects; Propensity score; Model averaging; Limit experiment
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/1492752
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