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A Simple and Successsful Shrinkage Method for Weighting Estimators of Treatment Effects

Winfried Pohlmeier (), Ruben Seiberlich () and Selver Uysal

No 304, Economics Series from Institute for Advanced Studies

Abstract: A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment effect. As the weights in these estimators can become arbitrarily large for the propensity scores close to the boundaries, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte Carlo study demonstrate that this simple method substantially reduces the mean squared error of the estimators in finite samples, and is superior to several popular trimming approaches over a wide range of settings.

Keywords: Average treatment effect; Econometric evaluation; Penalizing; Propensity score; Shrinkage (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2014-09
New Economics Papers: this item is included in nep-ecm
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http://www.ihs.ac.at/publications/eco/es-304.pdf First version, 2014 (application/pdf)

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Journal Article: A simple and successful shrinkage method for weighting estimators of treatment effects (2016) Downloads
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