A Simple and Successul Method to Shrink the Weight
Winfried Pohlmeier (),
Ruben Seiberlich () and
No 2013-05, Working Paper Series of the Department of Economics, University of Konstanz from Department of Economics, University of Konstanz
We propose a simple way to improve the efficiency of the average treatment effect on propensity score based estimators. As the weights become arbitrarily large for the propensity scores being close to one or zero, we propose to shrink the propensity scores away from these boundaries. Using a comprehensive Monte Carlo study we show that this simple method substantially reduces the mean squared error of the estimators in finite samples.
Keywords: Econometric evaluation; propensity score; penalizing; shrinkage; average treatment effect (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Pages: 41 pages
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Persistent link: https://EconPapers.repec.org/RePEc:knz:dpteco:1305
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