Information-Theoretic Deconvolution Approximation of Treatment Effect Distribution
This study proposes an information-theoretic deconvolution method to approximate the entire distribution of individual treatment effect. This method uses higher-order information implied by the standard average treatment effect estimator to construct a maximum entropy approximation to the treatment effect distribution. This method is able to approximate the underlying distribution even if it is entirely random or dependent on unobservable covariates. The asymptotic properties of the proposed estimator is discussed. This estimator is shown to minimize the Kullback-Leibler distance between the underlying distribution and the approximations. Monte Carlo simulations and experiments with real data demonstrate the efficacy and flexibility of the proposed deconvolution estimator. This method is applied to data from the U.S. Job Training Partnership Act (JTPA) program to estimate the distribution of its impact on individual earnings.
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- Sergio Firpo, 2007.
"Efficient Semiparametric Estimation of Quantile Treatment Effects,"
Econometric Society, vol. 75(1), pages 259-276, 01.
- Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society.
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- Wu, Ximing, 2003. "Calculation of maximum entropy densities with application to income distribution," Journal of Econometrics, Elsevier, vol. 115(2), pages 347-354, August.
- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. Full references (including those not matched with items on IDEAS)
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