Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching

Pengfei Shi, Xinyu Zhang and Wei Zhong

Economics Letters, 2024, vol. 238, issue C

Abstract: We propose a model averaging approach, combined with a partition and matching method to estimate the conditional average treatment effects under heteroskedastic error settings. The proposed approach has asymptotic optimality and consistency of weights and estimator. Numerical studies show that our method has good finite-sample performances.

Keywords: Asymptotic optimality; Cross validation; Heteroscedasticity; Model averaging; Treatment effects (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524001629

DOI: 10.1016/j.econlet.2024.111679

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