Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247609 
Year of Publication: 
2021
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 9 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-32
Publisher: 
MDPI, Basel
Abstract: 
Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of outliers. Bad and good leverage point outliers are considered. Bias arises in the case of bad leverage points because they completely change the distribution of the metrics used to define counterfactuals; good leverage points, on the other hand, increase the chance of breaking the common support condition and distort the balance of the covariates, which may push practitioners to misspecify the propensity score or the distance measures. We provide some clues to identify and correct for the effects of outliers following a reweighting strategy in the spirit of the Stahel-Donoho (SD) multivariate estimator of scale and location, and the S-estimator of multivariate location (Smultiv). An application of this strategy to experimental data is also implemented.
Subjects: 
mahalanobis distance
outliers
propensity score
treatment effects
JEL: 
C21
C14
C52
C13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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