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Efficient propensity score regression estimators of multivalued treatment effects for the treated

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  • Lee, Ying-Ying

Abstract

When a multivalued treatment is randomly assigned conditional on observables, valid causal comparisons for a subpopulation treated at a particular treatment level require two propensity scores—one for the treated level and one for the counterfactual level. We contribute efficient propensity score regression estimators to a class of treatment effects for the treated, under the cases when the propensity scores are unknown and when they are known. Our efficient estimator matches on a normalized propensity score that combines the true propensity score and the nonparametric estimate. Our asymptotic theory takes into account that the propensity scores are nonparametrically or parametrically estimated as generated regressors.

Suggested Citation

  • Lee, Ying-Ying, 2018. "Efficient propensity score regression estimators of multivalued treatment effects for the treated," Journal of Econometrics, Elsevier, vol. 204(2), pages 207-222.
  • Handle: RePEc:eee:econom:v:204:y:2018:i:2:p:207-222
    DOI: 10.1016/j.jeconom.2018.02.002
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    Cited by:

    1. Huang, W. & Linton, O. & Zhang, Z., 2021. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Cambridge Working Papers in Economics 2113, Faculty of Economics, University of Cambridge.
    2. Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org.
    3. Pedro H. C. Sant'Anna & Xiaojun Song, 2020. "Specification tests for generalized propensity scores using double projections," Papers 2003.13803, arXiv.org, revised Apr 2023.
    4. Muhammad Arif & Mudassar Hasan & Ahmed Shafique Joyo & Christopher Gan & Sazali Abidin, 2020. "Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries," JRFM, MDPI, vol. 13(10), pages 1-19, September.
    5. Lee, Ying-Ying & Bhattacharya, Debopam, 2019. "Applied welfare analysis for discrete choice with interval-data on income," Journal of Econometrics, Elsevier, vol. 211(2), pages 361-387.
    6. Ying-Ying Lee, 2018. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Papers 1811.00157, arXiv.org.
    7. Haruki Kono, 2023. "Semiparametric Efficiency Gains From Parametric Restrictions on Propensity Scores," Papers 2306.04177, arXiv.org, revised Feb 2024.

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    More about this item

    Keywords

    Propensity score; Multivalued treatment; Semiparametric efficiency bound; Unconfoundedness; Generated regressor;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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