A Simple and Successul Method to Shrink the Weight
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-274751 |
| Author: | Pohlmeier, Winfried; Seiberlich, Ruben R.; Uysal, S. Derya |
| Year of publication: | 2013 |
| Series: | Working Paper Series / Department of Economics ; 2013‐05 |
| Summary: |
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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| JEL Classification: | C14; C21 |
| Subject (DDC): | 330 Economics |
| Keywords: | Econometric evaluation, propensity score, penalizing, shrinkage, average treatment effect |
| Link to License: | Terms of use |
| Bibliography of Konstanz: | Yes |
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POHLMEIER, Winfried, Ruben R. SEIBERLICH, S. Derya UYSAL, 2013. A Simple and Successul Method to Shrink the Weight
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