Publikation: A Simple and Successul Method to Shrink the Weight
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2013
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Working Paper/Technical Report
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Zusammenfassung
We propose a simple way to improve the efficiency of the average treatment effect on propensity score based estimators. As the weights become arbitrarily large for the propensity scores being close to one or zero, we propose to shrink the propensity scores away from these boundaries. Using a comprehensive Monte Carlo study we show that this simple method substantially reduces the mean squared error of the estimators in finite samples.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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Econometric evaluation, propensity score, penalizing, shrinkage, average treatment effect
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POHLMEIER, Winfried, Ruben SEIBERLICH, Selver Derya UYSAL, 2013. A Simple and Successul Method to Shrink the WeightBibTex
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year={2013},
series={Working Paper Series / Department of Economics},
title={A Simple and Successul Method to Shrink the Weight},
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