A matching estimator based on a bi-level optimization problem
This paper proposes a matching estimator where the size of the weights and the number of neighbors are endogenously determined from the solution of a bi-level optimization problem. The first level problem minimizes the distance between the characteristics of an individual and a convex combination of characteristics of individuals belonging to the corresponding counterfactual set, and with the second level we choose a solution point of the first level that minimizes the sum of the distances between the characteristics of the individual under analysis and those from the counterfactuals employed in the optimal convex combination. We show that this estimator is consistent and asymptotically normal. Finally we study its behavior in finite samples by performing Monte Carlo experiments with designs based on the related literature. In terms of bias, standard deviation and mean square error, we find significant improvements using our estimator in comparison to the simple matching estimator, widely employed in the literature.
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- 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).
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- 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.
- 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.
- de Luna, Xavier & Johansson, Per & Sjöstedt-de Luna, Sara, 2010.
"Bootstrap inference for K-nearest neighbour matching estimators,"
Working Paper Series
2010:13, IFAU - Institute for Evaluation of Labour Market and Education Policy.
- de Luna, Xavier & Johansson, Per & Sjöstedt-de Luna, Sara, 2010. "Bootstrap Inference for K-Nearest Neighbour Matching Estimators," IZA Discussion Papers 5361, Institute for the Study of Labor (IZA).
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