Average treatment effect estimators – inefficiency – minimisation of variance

In this paper, we show the inability of a recent average treatment effect estimator (ATE) to catch up the asymptotic semiparametric efficiency bound of Hahn (1998) although it minimises the mean squared error. Additionally, we propose the use of a minimum variance unbiased uniformly estimator of the propensity score in order to minimise the loss of efficiency.

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Year of publication:	2009
Authors:	Tsagkanos, Athanasios G.
Published in:	International Journal of Computational Economics and Econometrics. - Inderscience Enterprises Ltd, ISSN 1757-1170. - Vol. 1.2009, 1, p. 1-8
Publisher:	Inderscience Enterprises Ltd
Subject:	average treatment effect \| ATE estimator \| propensity score \| minimum variance unbiased uniformly estimator \| efficiency loss

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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