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Sequential Matching Estimation of Dynamic Causal Models

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  • Lechner, Michael

    ()
    (University of St. Gallen)

Abstract

This paper proposes sequential matching and inverse selection probability weighting to estimate dynamic causal effects. The sequential matching estimators extend simple, matching estimators based on propensity scores for static causal analysis that have been frequently applied in the evaluation literature. A Monte Carlo study shows that the suggested estimators perform well in small and medium size samples. Based on the application of the sequential matching estimators to an empirical problem - an evaluation study of the Swiss active labour market policies - some implementational issues are discussed and results are provided.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 1042.

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Length: 51 pages
Date of creation: Mar 2004
Date of revision:
Handle: RePEc:iza:izadps:dp1042

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Related research

Keywords: nonparametric identification; dynamic treatment effects; causal effects; sequential randomisation; programme evaluation; panel data;

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References

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  1. Bergemann, Annette & Fitzenberger, Bernd & Speckesser, Stefan, 2005. "Evaluating the Dynamic Employment Effects of Training Programs in East Germany Using Conditional Difference-in-Differences," IZA Discussion Papers 1848, Institute for the Study of Labor (IZA).
  2. Hidehiko Ichimura & Oliver Linton, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
  3. Gerfin, Michael & Lechner, Michael & Steiger, Heidi, 2005. "Does subsidised temporary employment get the unemployed back to work? Aneconometric analysis of two different schemes," Labour Economics, Elsevier, vol. 12(6), pages 807-835, December.
  4. Dehejia, R.H. & Wahba, S., 1998. "Propensity Score Matching Methods for Non-Experimental Causal Studies," Discussion Papers 1998_02, Columbia University, Department of Economics.
  5. Angrist, Joshua D. & Krueger, Alan B., 1999. "Empirical strategies in labor economics," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 23, pages 1277-1366 Elsevier.
  6. Guido W. Imbens, 1999. "The Role of the Propensity Score in Estimating Dose-Response Functions," NBER Technical Working Papers 0237, National Bureau of Economic Research, Inc.
  7. Rajeev H. Dehejia & Sadek Wahba, 1998. "Causal Effects in Non-Experimental Studies: Re-Evaluating the Evaluation of Training Programs," NBER Working Papers 6586, National Bureau of Economic Research, Inc.
  8. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
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  10. James J. Heckman, 1989. "Choosing Among Alternative Nonexperimental Methods for Estimating the Impact of Social Programs: The Case of Manpower Training," NBER Working Papers 2861, National Bureau of Economic Research, Inc.
  11. Arulampalam, Wiji & Booth, Alison L, 2001. "Learning and Earning: Do Multiple Training Events Pay? A Decade of Evidence from a Cohort of Young British Men," Economica, London School of Economics and Political Science, vol. 68(271), pages 379-400, August.
  12. Abbring, Jaap H. & van den Berg, Gerard J., 2002. "Dynamically assigned treatments: duration models, binary treatment models, and panel data models," Working Paper Series 2002:20, IFAU - Institute for Evaluation of Labour Market and Education Policy.
  13. Alberto Abadie & Guido W. Imbens, 2002. "Simple and Bias-Corrected Matching Estimators for Average Treatment Effects," NBER Technical Working Papers 0283, National Bureau of Economic Research, Inc.
  14. Arellano, M. & Honore, B., 2000. "Panel Data Models: Some Recent Developments," Papers 0016, Centro de Estudios Monetarios Y Financieros-.
  15. Ham, John C & LaLonde, Robert J, 1996. "The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training," Econometrica, Econometric Society, vol. 64(1), pages 175-205, January.
  16. Li Y.P. & Propert K. J. & Rosenbaum P. R., 2001. "Balanced Risk Set Matching," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 870-882, September.
  17. Gerfin, Michael & Lechner, Michael, 2000. "Microeconometric Evaluation of the Active Labour Market Policy in Switzerland," IZA Discussion Papers 154, Institute for the Study of Labor (IZA).
  18. Sianesi, Barbara, 2001. "An evaluation of the active labour market programmes in Sweden," Working Paper Series 2001:5, IFAU - Institute for Evaluation of Labour Market and Education Policy.
  19. Jeffrey M. Wooldridge, 2002. "Inverse probability weighted M-estimators for sample selection, attrition and stratification," CeMMAP working papers CWP11/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  20. Lechner, Michael, 1999. "Earnings and Employment Effects of Continuous Off-the-Job Training in East Germany after Unification," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 74-90, January.
  21. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," NBER Working Papers 6699, National Bureau of Economic Research, Inc.
  22. Aviv Nevo, 2001. "Using Weights to Adjust for Sample Selection When Auxiliary Information is Available," NBER Technical Working Papers 0275, National Bureau of Economic Research, Inc.
  23. 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.
  24. Heckman, James J. & Robb, Richard Jr., 1985. "Alternative methods for evaluating the impact of interventions : An overview," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 239-267.
  25. Michael Lechner, 2000. "Programme Heterogeneity and Propensity Score Matching: An Application to the Evaluation of Active Labour Market Policies," Econometric Society World Congress 2000 Contributed Papers 0647, Econometric Society.
  26. Lechner, Michael, 1999. "Identification and Estimation of Causal Effects of Multiple Treatments Under the Conditional Independence Assumption," IZA Discussion Papers 91, Institute for the Study of Labor (IZA).
  27. Petra E. Todd & Jeffrey A. Smith, 2001. "Reconciling Conflicting Evidence on the Performance of Propensity-Score Matching Methods," American Economic Review, American Economic Association, vol. 91(2), pages 112-118, May.
  28. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The Nonparametric Identification of Treatment Effects in Duration Models," Econometrica, Econometric Society, vol. 71(5), pages 1491-1517, 09.
  29. Michael Lechner, 2005. "Some practical issues in the evaluation of heterogeneous labour market programmes by matching methods," Labor and Demography 0505006, EconWPA.
  30. Heckman, James J & Ichimura, Hidehiko & Todd, Petra, 1998. "Matching as an Econometric Evaluation Estimator," Review of Economic Studies, Wiley Blackwell, vol. 65(2), pages 261-94, April.
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