The role of propensity score structure in asymptotic efficiency of estimated conditional quantile treatment effect

DOI10.1111/SJOS.12539zbMATH Open1496.62078arXiv2009.10450OpenAlexW3169730521MaRDI QIDQ5043776FDOQ5043776

Authors: Niwen Zhou, Xu Guo, Li-Xing Zhu 

Publication date: 6 October 2022

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: When a strict subset of covariates are given, we propose conditional quantile treatment effect to capture the heterogeneity of treatment effects via the quantile sheet that is the function of the given covariates and quantile. We focus on deriving the asymptotic normality of probability score-based estimators under parametric, nonparametric and semiparametric structure. We make a systematic study on the estimation efficiency to check the importance of propensity score structure and the essential differences from the unconditional counterparts. The derived unique properties can answer: what is the general ranking of these estimators? how does the affiliation of the given covariates to the set of covariates of the propensity score affect the efficiency? how does the convergence rate of the estimated propensity score affect the efficiency? and why would semiparametric estimation be worth of recommendation in practice? We also give a brief discussion on the extension of the methods to handle large-dimensional scenarios and on the estimation for the asymptotic variances. The simulation studies are conducted to examine the performances of these estimators. A real data example is analyzed for illustration and some new findings are acquired.

Full work available at URL: https://arxiv.org/abs/2009.10450

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zbMATH Keywords

dimension reductionheterogeneous treatment effectquantilesemiparametric estimationasymptotic efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cited In (1)

• Efficient propensity score regression estimators of multivalued treatment effects for the treated

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