A Martingale Representation for Matching Estimators
AbstractMatching estimators are widely used in statistical data analysis. However, the large sample distribution of matching estimators has been derived only for particular cases. This article establishes a martingale representation for matching estimators. This representation allows the use of martingale limit theorems to derive the large sample distribution of matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement, a result previously unavailable in the literature. In addition, we apply the techniques proposed in this article to derive a correction to the standard error of a sample mean when missing data are imputed using the “hot deck,” a matching imputation method widely used in the Current Population Survey (CPS) and other large surveys in the social sciences. We demonstrate the empirical relevance of our methods using two Monte Carlo designs based on actual datasets. In these Monte Carlo exercises, the large sample distribution of matching estimators derived in this article provides an accurate approximation to the small sample behavior of these estimators. In addition, our simulations show that standard errors that do not take into account hot-deck imputation of missing data may be severely downward biased, while standard errors that incorporate the correction for hot-deck imputation perform extremely well. This article has online supplementary materials.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of the American Statistical Association.
Volume (Year): 107 (2012)
Issue (Month): 498 (June)
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Other versions of this item:
- Alberto Abadie & Guido Imbens, 2009. "A Martingale Representation for Matching Estimators," NBER Working Papers 14756, National Bureau of Economic Research, Inc.
- Abadie, Alberto & Imbens, Guido W., 2009. "A Martingale Representation for Matching Estimators," IZA Discussion Papers 4073, Institute for the Study of Labor (IZA).
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- 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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