Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion

Stephen G. Donald; Yu Chin Hsu; Robert P. Lieli

doi:10.1016/j.spl.2014.08.015

Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion

Stephen G. Donald
, Yu Chin Hsu^*
, Robert P. Lieli

^*Corresponding author for this work

Department of Economics

University of Texas at Austin
Academia Sinica - Institute of Economics
Hungarian National Bank

Research output: Contribution to journal › Article › peer-review

Abstract (may include machine translation)

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.

Original language	English
Pages (from-to)	132-138
Number of pages	7
Journal	Statistics and Probability Letters
Volume	95
DOIs	https://doi.org/10.1016/j.spl.2014.08.015
State	Published - 1 Dec 2014

Keywords

Higher order expansion
Inverse probability weighted estimator
Local average treatment effect

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10.1016/j.spl.2014.08.015

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@article{b68640594c414b948ae600fa0a2f840d,

title = "Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion",

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.",

keywords = "Higher order expansion, Inverse probability weighted estimator, Local average treatment effect",

author = "Donald, \{Stephen G.\} and Hsu, \{Yu Chin\} and Lieli, \{Robert P.\}",

note = "Publisher Copyright: {\textcopyright} 2014 Elsevier B.V.",

year = "2014",

month = dec,

day = "1",

doi = "10.1016/j.spl.2014.08.015",

language = "English",

volume = "95",

pages = "132--138",

journal = "Statistics and Probability Letters",

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TY - JOUR

T1 - Inverse probability weighted estimation of local average treatment effects

T2 - A higher order MSE expansion

AU - Donald, Stephen G.

AU - Hsu, Yu Chin

AU - Lieli, Robert P.

PY - 2014/12/1

Y1 - 2014/12/1

N2 - 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.

AB - 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.

KW - Higher order expansion

KW - Inverse probability weighted estimator

KW - Local average treatment effect

UR - https://www.scopus.com/pages/publications/84908349345

U2 - 10.1016/j.spl.2014.08.015

DO - 10.1016/j.spl.2014.08.015

M3 - Article

AN - SCOPUS:84908349345

SN - 0167-7152

VL - 95

SP - 132

EP - 138

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Inverse probability weighted estimation of local average treatment effects: A higher order MSE expansion

Abstract (may include machine translation)

Keywords

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