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Mean-square-error Calculations for Average Treatment Effects

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Author Info

  • Guido W. Imbens
  • Whitney Newey
  • Geert Ridder

Abstract

This paper develops a new efficient estimator for the average treatment effect, if selection for treatment is on observables. The new estimator is linear in the first-stage nonparametric estimator. This simplifies the derivation of the means squared error (MSE) of the estimator as a function of the number of basis functions that is used in the first stage nonparametric regression. We propose an estimator for the MSE and show that in large samples minimization of this estimator is equivalent to minimization of the population MSE.

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File URL: http://www.usc.edu/dept/LAS/economics/IEPR/Working%20Papers/IEPR_05.34_%5BImbens,Newey,Ridder%5D.pdf
File Function: Second version, 2005
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Bibliographic Info

Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.34.

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Length: 49 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:scp:wpaper:05-34

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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/
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Related research

Keywords: Nonparametric Estimation; Imputation; Mean Squared Error; Order Selection;

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Cited by:
  1. Martin Huber & Michael Lechner & Conny Wunsch, 2010. "How to control for many covariates? Reliable estimators based on the propensity score," University of St. Gallen Department of Economics working paper series 2010 2010-30, Department of Economics, University of St. Gallen.
  2. Busso, Matias & Kline, Patrick, 2008. "Do Local Economic Development Programs Work? Evidence from the Federal Empowerment Zone Program," Working Papers 36, Yale University, Department of Economics.
  3. Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2008. "Inverse Probability Tilting for Moment Condition Models with Missing Data," NBER Working Papers 13981, National Bureau of Economic Research, Inc.
  4. Michael Lechner & Blaise Melly, 2010. "Partial Idendification of Wage Effects of Training Programs," Working Papers 2010-8, Brown University, Department of Economics.
  5. Guido Imbens & Jeffrey Wooldridge, 2008. "Recent developments in the econometrics of program evaluation," CeMMAP working papers CWP24/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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