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Higher order inference on a treatment effect under low regularity conditions

  • Li, Lingling
  • Tchetgen Tchetgen, Eric
  • van der Vaart, Aad
  • Robins, James M.
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    We describe a novel approach to nonparametric point and interval estimation of a treatment effect in the presence of many continuous confounders. We show that the problem can be reduced to that of point and interval estimation of the expected conditional covariance between treatment and response given the confounders. Our estimators are higher order U-statistics. The approach applies equally to the regular case where the expected conditional covariance is root-n estimable and to the irregular case where slower nonparametric rates prevail.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-52966SG-3/2/fd3edb7e31dd26fe8219faf07651dcf2
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 81 (2011)
    Issue (Month): 7 (July)
    Pages: 821-828

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    Handle: RePEc:eee:stapro:v:81:y:2011:i:7:p:821-828
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    1. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc.
    2. Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," IZA Discussion Papers 2347, Institute for the Study of Labor (IZA).
    3. Donald, S. G. & Newey, W. K., 1994. "Series Estimation of Semilinear Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 30-40, July.
    4. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
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