Matching on the Estimated Propensity Score

Alberto Abadie and Guido Imbens

No 15301, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Propensity score matching estimators (Rosenbaum and Rubin, 1983) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity score is itself estimated in a first step, prior to matching. We prove that first step estimation of the propensity score affects the large sample distribution of propensity score matching estimators. Moreover, we derive an adjustment to the large sample variance of propensity score matching estimators that corrects for first step estimation of the propensity score. In spite of the great popularity of propensity score matching estimators, these results were previously unavailable in the literature.

JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2009-08
New Economics Papers: this item is included in nep-ecm
Note: LS
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Published as Alberto Abadie & Guido W. Imbens, 2016. "Matching on the Estimated Propensity Score," Econometrica, Econometric Society, vol. 84, pages 781-807, 03.

Downloads: (external link)
http://www.nber.org/papers/w15301.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:15301

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w15301

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().