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Craig A. Rolling, Yuhong Yang and Dagmar Velez

Econometric Theory, 2019, vol. 35, issue 6, 1089-1110

Abstract: Estimating a treatment’s effect on an outcome conditional on covariates is a primary goal of many empirical investigations. Accurate estimation of the treatment effect given covariates can enable the optimal treatment to be applied to each unit or guide the deployment of limited treatment resources for maximum program benefit. Applications of conditional treatment effect estimation are found in direct marketing, economic policy, and personalized medicine. When estimating conditional treatment effects, the typical practice is to select a statistical model or procedure based on sample data. However, combining estimates from the candidate procedures often provides a more accurate estimate than the selection of a single procedure. This article proposes a method of model combination that targets accurate estimation of the treatment effect conditional on covariates. We provide a risk bound for the resulting estimator under squared error loss and illustrate the method using data from a labor skills training program.

Date: 2019
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Handle: RePEc:cup:etheor:v:35:y:2019:i:6:p:1089-1110_1