Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122178
Authors: 
Pohlmeier, Winfried
Seiberlich, Ruben
Uysal, Selver Derya
Year of Publication: 
2014
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 304
Abstract: 
A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment effect. As the weights in these estimators can become arbitrarily large for the propensity scores close to the boundaries, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte Carlo study demonstrate that this simple method substantially reduces the mean squared error of the estimators in finite samples, and is superior to several popular trimming approaches over a wide range of settings.
Subjects: 
average treatment effect
econometric evaluation
penalizing
propensity score
shrinkage
Document Type: 
Working Paper

Files in This Item:
File
Size
597.69 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.