Doubly robust uniform confidence band for the conditional average treatment effect function

Sokbae (Simon) Lee, Ryo Okui and Yoon-Jae Whang ()

No CWP03/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: In this paper, we propose a doubly robust method to present the heterogeneity of the average treatment e ffect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment eff ect but the covariates of interest for analyzing heterogeneity are of much lower dimension. Our proposed estimator is doubly robust and avoids the curse of dimensionality. We propose a uniform confi dence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the eff ects of smoking on birth weights.

Keywords: Average treatment effect conditional on covariates; uniform confidence band; double robustness; Gaussian approximation. (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Date: 2016-01-10
New Economics Papers: this item is included in nep-dev and nep-edu
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Doubly robust uniform confidence band for the conditional average treatment effect function (2017)
Working Paper: Doubly robust uniform confidence band for the conditional average treatment effect function (2017)
Working Paper: Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function (2016)
Working Paper: Doubly robust uniform confidence band for the conditional average treatment effect function (2016)
Working Paper: DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION (2016)
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