Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion

Stephen G. Donald, Yu-Chin Hsu () and Robert Lieli
Additional contact information
Stephen G. Donald: Department of Economics University of Texas at Austin, http://www.utexas.edu/cola/depts/economics/
Yu-Chin Hsu: Institute of Economics, Academia Sinica, Taipei, Taiwan, https://www.econ.sinica.edu.tw/

No 14-A002, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

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)
JEL-codes: C01 C13 C14 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-02, Revised 2014-08
New Economics Papers: this item is included in nep-ecm and nep-sog
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Citations: View citations in EconPapers (7)

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Journal Article: Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion (2014)
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