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Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion

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Abstract

We consider a new inverse probability weighted estimator for the local average treatment effect parameter where the instrument propensity score is estimated by local polynomial regression. We derive its asymptotics and provide a higher order expansion of its asymptotic MSE.

Suggested Citation

  • Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli, 2014. "Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion," IEAS Working Paper : academic research 14-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Aug 2014.
    • Handle: RePEc:sin:wpaper:14-a002
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    Cited by:

    1. Huber Martin & Wüthrich Kaspar, 2019. "Local Average and Quantile Treatment Effects Under Endogeneity: A Review," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-27, January.
    2. Martin Huber, 2019. "An introduction to flexible methods for policy evaluation," Papers 1910.00641, arXiv.org.
    3. Jason Abrevaya & Yu-Chin Hsu & Robert P. Lieli, 2015. "Estimating Conditional Average Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 485-505, October.
    4. Tymon Słoczyński & S. Derya Uysal & Jeffrey M. Wooldridge, 2025. "Abadie’s Kappa and Weighting Estimators of the Local Average Treatment Effect," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(1), pages 164-177, January.
    5. Huber, Martin & Wüthrich, Kaspar, 2017. "Evaluating local average and quantile treatment effects under endogeneity based on instruments: a review," FSES Working Papers 479, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    6. Stefan Tübbicke, 2023. "When to use matching and weighting or regression in instrumental variable estimation? Evidence from college proximity and returns to college," Empirical Economics, Springer, vol. 65(6), pages 2979-2999, December.
    7. Hsu Yu-Chin & Huber Martin & Lai Tsung-Chih, 2019. "Nonparametric estimation of natural direct and indirect effects based on inverse probability weighting," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-20, January.
    8. Tesfaye, Wondimagegn & Tirivayi, Nyasha, 2016. "The effect of improved storage innovations on food security and welfare in Ethiopia," MERIT Working Papers 2016-063, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    9. Tesfaye, Wondimagegn & Tirivayi, Nyasha, 2018. "The impacts of postharvest storage innovations on food security and welfare in Ethiopia," Food Policy, Elsevier, vol. 75(C), pages 52-67.
    10. Phillip Heiler, 2022. "Efficient Covariate Balancing for the Local Average Treatment Effect," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1569-1582, October.

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    Keywords

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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