A Simple and Successul Method to Shrink the Weight

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2013
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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.

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330 Wirtschaft
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Econometric evaluation, propensity score, penalizing, shrinkage, average treatment effect
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ISO 690POHLMEIER, Winfried, Ruben SEIBERLICH, Selver Derya UYSAL, 2013. A Simple and Successul Method to Shrink the Weight
BibTex
@techreport{Pohlmeier2013Simpl-29778,
  year={2013},
  series={Working Paper Series / Department of Economics},
  title={A Simple and Successul Method to Shrink the Weight},
  number={2013‐05},
  author={Pohlmeier, Winfried and Seiberlich, Ruben and Uysal, Selver Derya}
}
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