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Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion

Stephen G. Donald, Yu-Chin Hsu and Robert Lieli

Statistics & Probability Letters, 2014, vol. 95, issue C, 132-138

Abstract: We consider a new inverse probability weighted estimator for the local average treatment effect parameter where the instrument propensity score is estimated by local polynomial regression. We derive its asymptotics and provide a higher order expansion of its asymptotic MSE.

Keywords: Local average treatment effect; Inverse probability weighted estimator; Higher order expansion (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2014.08.015

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