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A note on the variance of average treatment effects estimators

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  • Gabriel Montes-Rojas

    () (City University London)

Abstract

We derive the variance of the Hirano, Imbens and Ridder (Econometrica 66, 315--31, 2003) average treatment effects estimator when the true propensity score is known. This variance is used in the derivation of the variance of a similar two-step estimator, where a M-estimator is used in the first step to estimate the propensity score.

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File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P46.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 29 (2009)
Issue (Month): 4 ()
Pages: 2937-2943

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Handle: RePEc:ebl:ecbull:eb-09-00525

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Keywords: Average treatment effects; efficiency bound; two-step estimator;

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  1. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2000. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," NBER Technical Working Papers 0251, National Bureau of Economic Research, Inc.
  2. Guido W. Imbens, 2004. "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 4-29, February.
  3. Jinyong Hahn, 1998. "On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects," Econometrica, Econometric Society, vol. 66(2), pages 315-332, March.
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