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A note on the variance of average treatment effects estimators

Author

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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.

Suggested Citation

  • Gabriel Montes-Rojas, 2009. "A note on the variance of average treatment effects estimators," Economics Bulletin, AccessEcon, vol. 29(4), pages 2937-2943.
    • Handle: RePEc:ebl:ecbull:eb-09-00525
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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P46.pdf
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    References listed on IDEAS

    as
    1. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
    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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    Cited by:

    1. Alejo, Javier & Galvao, Antonio F. & Montes-Rojas, Gabriel, 2018. "Quantile continuous treatment effects," Econometrics and Statistics, Elsevier, vol. 8(C), pages 13-36.
    2. Dridi, Ichrak & Boughrara, Adel, 2023. "Flexible inflation targeting and stock market volatility: Evidence from emerging market economies," Economic Modelling, Elsevier, vol. 126(C).

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    More about this item

    Keywords

    Average treatment effects; efficiency bound; two-step estimator;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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