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.
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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