Bootstrap Inference for K-Nearest Neighbour Matching Estimators
AbstractAbadie and Imbens (2008, Econometrica) showed that classical bootstrap schemes fail to provide correct inference for K-nearest neighbour (KNN) matching estimators of average causal effects. This is an interesting result showing that bootstrap should not be applied without theoretical justification. In this paper, we present two resampling schemes, which we show provide valid inference for KNN matching estimators. We resample "estimated individual causal effects" (EICE), i.e. the difference in outcome between matched pairs, instead of the original data. Moreover, by taking differences in EICEs ordered with respect to the matching covariate, we obtain a bootstrap scheme valid also with heterogeneous causal effects where mild assumptions on the heterogeneity are imposed. We provide proofs of the validity of the proposed resampling based inferences. A simulation study illustrates finite sample properties.
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Bibliographic InfoPaper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 5361.
Length: 25 pages
Date of creation: Dec 2010
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Other versions of this item:
- de Luna, Xavier & Johansson, Per & Sjöstedt-de Luna, Sara, 2010. "Bootstrap inference for K-nearest neighbour matching estimators," Working Paper Series 2010:13, IFAU - Institute for Evaluation of Labour Market and Education Policy.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
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- Juan Díaz & Tomás Rau & Jorge Rivera, 2012. "A matching estimator based on a bi-level optimization problem," Working Papers wp351, University of Chile, Department of Economics.
- de Luna, Xavier & Johansson, Per, 2012.
"Testing for Nonparametric Identification of Causal Effects in the Presence of a Quasi-Instrument,"
IZA Discussion Papers
6692, Institute for the Study of Labor (IZA).
- de Luna, Xavier & Johansson, Per, 2012. "Testing for nonparametric identification of causal effects in the presence of a quasi-instrument," Working Paper Series 2012:14, IFAU - Institute for Evaluation of Labour Market and Education Policy.
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