Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)
Bryan Graham (),
Cristine Pinto () and
No 16928, NBER Working Papers from National Bureau of Economic Research, Inc
We propose a locally efficient estimator for a class of semiparametric data combination problems. A leading estimand in this class is the Average Treatment Effect on the Treated (ATT). Data combination problems are related to, but distinct from, the class of missing data problems analyzed by Robins, Rotnitzky and Zhao (1994) (of which the Average Treatment Effect (ATE) estimand is a special case). Our estimator also possesses a double robustness property. Our procedure may be used to efficiently estimate, among other objects, the ATT, the two-sample instrumental variables model (TSIV), counterfactual distributions, poverty maps, and semiparametric difference-in-differences. In an empirical application we use our procedure to characterize residual Black-White wage inequality after flexibly controlling for 'pre-market' differences in measured cognitive achievement as in Neal and Johnson (1996).
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Published as Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2016. "Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)," Journal of Business & Economic Statistics, vol 34(2), pages 288-301.
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