How to control for many covariates? Reliable estimators based on the propensity score
Martin Huber (),
Michael Lechner and
Conny Wunsch ()
University of St. Gallen Department of Economics working paper series 2010 from Department of Economics, University of St. Gallen
We investigate the finite sample properties of a large number of estimators for the average treatment effect on the treated that are suitable when adjustment for observable covariates is required, like inverse pro¬bability weighting, kernel and other variants of matching, as well as different parametric models. The simulation design used is based on real data usually employed for the evaluation of labour market programmes in Germany. We vary several dimensions of the design that are of practical importance, like sample size, the type of the outcome variable, and aspects of the selection process. We find that trimming individual observations with too much weight as well as the choice of tuning parameters is important for all estimators. The key conclusion from our simulations is that a particular radius matching estimator combined with regression performs best overall, in particular when robustness to misspecifications of the propensity score is considered an important property.
Keywords: Propensity score matching; kernel matching; inverse probability weighting; selection on observables; empirical Monte Carlo study; finite sample properties (search for similar items in EconPapers)
JEL-codes: C21 (search for similar items in EconPapers)
Pages: 62 pages
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Working Paper: How to Control for Many Covariates? Reliable Estimators Based on the Propensity Score (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2010:2010-30
Access Statistics for this paper
More papers in University of St. Gallen Department of Economics working paper series 2010 from Department of Economics, University of St. Gallen Contact information at EDIRC.
Bibliographic data for series maintained by Martina Flockerzi ().