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Mean-square-error Calculations for Average Treatment Effects

  • Guido W. Imbens
  • Whitney Newey
  • Geert Ridder

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
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File Function: Second version, 2005
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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
Contact details of provider: Phone: (213) 740-3521
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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/

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