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

Sokbae Lee; Ryo Okui; Yoon‐Jae Whang

doi:10.1002/jae.2574

journal article Open Access May 31, 2017

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

Sokbae Lee Ryo Okui Yoon‐Jae Whang

Journal of Applied Econometrics Vol. 32 No. 7 pp. 1207-1225 · Wiley

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Abstract

SummaryIn 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.

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Metrics

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Citations

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References

Details

Published: May 31, 2017
Vol/Issue: 32(7)
Pages: 1207-1225
License: View

Authors

S

Sokbae Lee

Department of Economics Columbia University New York NY USA; Centre for Microdata Methods and Practice Institute for Fiscal Studies London UK

R

Ryo Okui

NYU Shanghai 1555 Century Avenue, Pudong Shanghai 200122 China; Department of Economics University of Gothenburg Gothenburg Sweden

Y

Yoon‐Jae Whang

Department of Economics Seoul National University Seoul Republic of Korea

Funding

Japan Society for the Promotion of Science Award: KAKENHI 25285067

European Research Council Award: ERC-2009-StG-240910-ROMETA

Cite This Article

Sokbae Lee, Ryo Okui, Yoon‐Jae Whang (2017). Doubly robust uniform confidence band for the conditional average treatment effect function. Journal of Applied Econometrics, 32(7), 1207-1225. https://doi.org/10.1002/jae.2574

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

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