A Martingale Representation for Matching Estimators

Alberto Abadie () and Guido Imbens

No 14756, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Matching estimators are widely used in statistical data analysis. However, the distribution of matching estimators has been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement, a result previously unavailable in the literature.

JEL-codes: C13 C14 C21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2009-02
Note: TWP
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Working Paper: A Martingale Representation for Matching Estimators (2009)
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