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A Simple and Successul Method to Shrink the Weight

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Author Info

  • Winfried Pohlmeier

    ()
    (Department of Economics, University of Konstanz, Germany)

  • Ruben R. Seiberlich

    ()
    (Department of Economics, University of Konstanz, Germany)

  • S. Derya Uysal

    ()
    (Economics and Finance Department, Institute for Advanced Studies Vienna, Autriche)

Abstract

We propose a simple way to improve the efficiency of the average treatment effect on propensity score based estimators. As the weights become arbitrarily large for the propensity scores being close to one or zero, we propose to shrink the propensity scores away from these boundaries. Using a comprehensive Monte Carlo study we show that this simple method substantially reduces the mean squared error of the estimators in finite samples.

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Bibliographic Info

Paper provided by Department of Economics, University of Konstanz in its series Working Paper Series of the Department of Economics, University of Konstanz with number 2013-05.

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Length: 41 pages
Date of creation: 23 Mar 2013
Date of revision:
Handle: RePEc:knz:dpteco:1305

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Related research

Keywords: Econometric evaluation; propensity score; penalizing; shrinkage; average treatment effect;

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