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Doubly Robust Uniform Confidence Band For The Conditional Average Treatment Effect Function

Author

Listed:
  • SOKBAE LEE

    (Seoul National University, Institute for Fiscal Studies)

  • RYO OKUI

    (Kyoto University, VU University Amsterdam)

  • YOON-JAE WHANG

    (Seoul National University)

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

Suggested Citation

  • Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly Robust Uniform Confidence Band For The Conditional Average Treatment Effect Function," KIER Working Papers 931, Kyoto University, Institute of Economic Research.
  • Handle: RePEc:kyo:wpaper:931
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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP931.pdf
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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