Estimating average treatment effect by model averaging

Yichen Gao, Wei Long () and Zhengwei Wang

Economics Letters, 2015, vol. 135, issue C, 42-45

Abstract: In this paper, we propose to use a model average method to improve the estimation performance of Hsiao et al. (2012) panel data approach for program evaluation. Instead of using the two-step model selection strategy which chooses one best model according to a criterion such as AIC or AICC, we average over a set of candidate models. Simulation results show that the model average estimator exhibits smaller estimation errors in post-treatment prediction than AIC or AICC method.

Keywords: Average treatment effect; Counterfactual; Model average (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:135:y:2015:i:c:p:42-45

DOI: 10.1016/j.econlet.2015.08.002

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