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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Working Paper: Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion (2014)
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DOI: 10.1016/j.spl.2014.08.015
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