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Doubly robust uniform confidence band for the conditional average treatment effect function

Lee, Sokbae, Okui, Ryo and Whang, Yoon-Jae (2017) Doubly robust uniform confidence band for the conditional average treatment effect function. Journal of Applied Econometrics, 32 (7). pp. 1207-1225. ISSN 0883-7252

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Identification Number: 10.1002/jae.2574

Abstract

In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect but the covariates of interest for analyzing heterogeneity are of much lower dimension. Our proposed estimator is doubly robust and avoids the curse of dimensionality. We propose a uniform confidence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the effects of smoking on birth weights.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1002/(IS...
Additional Information: © 2017 The Authors © CC BY 4.0
Divisions: Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Sets: Research centres and groups > Financial Markets Group (FMG)
Date Deposited: 23 Feb 2018 15:19
Last Modified: 20 Apr 2019 01:51
URI: http://eprints.lse.ac.uk/id/eprint/86852

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