Bootstrap Inference for K-Nearest Neighbour Matching Estimators
Abadie 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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- Sjöstedt-de Luna, 2005. "Some properties of weakly approaching sequences of distributions," Statistics & Probability Letters, Elsevier, vol. 75(2), pages 119-126, November.
- Imbens, Guido & Abadie, Alberto, 2008.
"On the Failure of the Bootstrap for Matching Estimators,"
3043415, Harvard University Department of Economics.
- Alberto Abadie & Guido W. Imbens, 2008. "On the Failure of the Bootstrap for Matching Estimators," Econometrica, Econometric Society, vol. 76(6), pages 1537-1557, November.
- Alberto Abadie & Guido W. Imbens, 2006. "On the Failure of the Bootstrap for Matching Estimators," NBER Technical Working Papers 0325, National Bureau of Economic Research, Inc.
- Imbens, Guido W. & Wooldridge, Jeffrey M., 2008.
"Recent Developments in the Econometrics of Program Evaluation,"
IZA Discussion Papers
3640, Institute for the Study of Labor (IZA).
- Guido W. Imbens & Jeffrey M. Wooldridge, 2009. "Recent Developments in the Econometrics of Program Evaluation," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 5-86, March.
- Guido M. Imbens & Jeffrey M. Wooldridge, 2008. "Recent Developments in the Econometrics of Program Evaluation," NBER Working Papers 14251, National Bureau of Economic Research, Inc.
- 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.
- Wooldridge, Jeffrey M. & Imbens, Guido, 2009. "Recent Developments in the Econometrics of Program Evaluation," Scholarly Articles 3043416, Harvard University Department of Economics.
- Guido W. Imbens, 2004.
"Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review,"
The Review of Economics and Statistics,
MIT Press, vol. 86(1), pages 4-29, February.
- Guido W. Imbens, 2003. "Nonparametric Estimation of Average Treatment Effects under Exogeneity: A Review," NBER Technical Working Papers 0294, National Bureau of Economic Research, Inc.
- Ekstrom, Magnus & Luna, Sara Sjostedt-De, 2004. "Subsampling Methods to Estimate the Variance of Sample Means Based on Nonstationary Spatial Data With Varying Expected Values," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 82-95, January.
- Alberto Abadie & Guido W. Imbens, 2006. "Large Sample Properties of Matching Estimators for Average Treatment Effects," Econometrica, Econometric Society, vol. 74(1), pages 235-267, 01.
- Ben B. Hansen, 2008. "The prognostic analogue of the propensity score," Biometrika, Biometrika Trust, vol. 95(2), pages 481-488.
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