Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function
Sokbae (Simon) Lee (),
Ryo Okui () and
Yoon-Jae Whang ()
Papers from arXiv.org
In this paper, we propose a doubly robust method to present the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect but the covariates of interest for analyzing heterogeneity are of much lower dimension. Our proposed estimator is doubly robust and avoids the curse of dimensionality. We propose a uniform confidence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the effects of smoking on birth weights.
New Economics Papers: this item is included in nep-exp
Date: 2016-01, Revised 2016-10
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Journal Article: Doubly robust uniform confidence band for the conditional average treatment effect function (2017)
Working Paper: Doubly robust uniform confidence band for the conditional average treatment effect function (2017)
Working Paper: Doubly robust uniform confidence band for the conditional average treatment effect function (2016)
Working Paper: DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION (2016)
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