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Doubly robust uniform confidence band for the conditional average treatment effect function

Sokbae (Simon) Lee (), Ryo Okui () and Yoon-Jae Whang ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this paper, we propose a doubly robust method to estimate 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.

JEL-codes: J1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-exp
Date: 2017-11-29
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Published in Journal of Applied Econometrics, 29, November, 2017, 32(7), pp. 1207-1225. ISSN: 0883-7252

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http://eprints.lse.ac.uk/86852/ Open access version. (application/pdf)

Related works:
Journal Article: Doubly robust uniform confidence band for the conditional average treatment effect function (2017) Downloads
Working Paper: Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function (2016) Downloads
Working Paper: Doubly robust uniform confidence band for the conditional average treatment effect function (2016) Downloads
Working Paper: DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION (2016) Downloads
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