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Practical Procedures to Deal with Common Support Problems in Matching Estimation

Michael Lechner and Anthony Strittmatter ()

No 1410, Economics Working Paper Series from University of St. Gallen, School of Economics and Political Science

Abstract: This paper assesses the performance of common estimators adjusting for differences in covariates, like matching and regression, when faced with so-called common support problems. It also shows how different procedures suggested in the literature to tackle common support problems affect the properties of such estimators. Based on an Empirical Monte Carlo simulation design, a lack of common support is found to increase the root mean squared error (RMSE) of all investigated parametric and semiparametric estimators. Dropping observa¬tions that are off support usually improves their performance, although the amount of improvement depends on the particular method used.

Keywords: Empirical Monte Carlo Study; matching estimation; regression; common support; outlier; small sample performance (search for similar items in EconPapers)
JEL-codes: C21 J68 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2014-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (21) Track citations by RSS feed

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http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1410.pdf (application/pdf)

Related works:
Journal Article: Practical procedures to deal with common support problems in matching estimation (2019) Downloads
Working Paper: Practical Procedures to Deal with Common Support Problems in Matching Estimation (2017) Downloads
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