Finite-sample optimal estimation and inference on average treatment effects under unconfoundedness

DOI10.3982/ECTA16907zbMATH Open1478.62075arXiv1712.04594MaRDI QIDQ5860133FDOQ5860133

Authors: Timothy B. Armstrong, Michal Kolesár 

Publication date: 18 November 2021

Published in: Econometrica (Search for Journal in Brave)

Abstract: We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical value that explicitly takes into account the potential bias of the estimator. When the error distribution is unknown, feasible versions of our CIs are valid asymptotically, even when $sqrtn$-inference is not possible due to lack of overlap, or low smoothness of the conditional mean. We also derive the minimum smoothness conditions on the conditional mean that are necessary for $sqrtn$-inference. When the conditional mean is restricted to be Lipschitz with a large enough bound on the Lipschitz constant, the optimal estimator reduces to a matching estimator with the number of matches set to one. We illustrate our methods in an application to the National Supported Work Demonstration.

Full work available at URL: https://arxiv.org/abs/1712.04594

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zbMATH Keywords

overlaphonest inferencetreatment effectsunconfoundednessfinite-sample inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15)

Cited In (13)

• Robust confidence intervals for average treatment effects under limited overlap
• Nonlinear and nonseparable structural functions in regression discontinuity designs with a continuous treatment
• Confidence intervals for the treatment effect on the treated
• Identifying the average treatment effect in ordered treatment models without unconfoundedness
• Dealing with limited overlap in estimation of average treatment effects
• Matching estimators with few treated and many control observations
• Bounding average treatment effects: a linear programming approach
• Inference on a New Class of Sample Average Treatment Effects
• Estimating the treatment effect in the two-sample problem with auxiliary information
• Augmented minimax linear estimation
• Higher order inference on a treatment effect under low regularity conditions
• Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
• A note on variance estimation for the Oaxaca estimator of average treatment effects

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