A Simple and Successul Method to Shrink the Weight

Pohlmeier, Winfried; Seiberlich, Ruben; Uysal, Selver Derya

A Simple and Successul Method to Shrink the Weight

Dateien

Pohlmeier_0-274751.pdfGröße: 529.68 KBDownloads: 266

Datum

2013

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Econometric evaluation, propensity score, penalizing, shrinkage, average treatment effect

Zitieren

ISO 690

POHLMEIER, 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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