A Simple and Successful Shrinkage Method for Weighting Estimators of Treatment Effects

Pohlmeier, Winfried and Seiberlich, Ruben and Uysal, S. Derya (September 2014) A Simple and Successful Shrinkage Method for Weighting Estimators of Treatment Effects. IHS Economics Series 304

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Abstract or Table of Contents

A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment effect. As the weights in these estimators can become arbitrarily large for the propensity scores close to the boundaries, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte Carlo study demonstrate that this simple method substantially reduces the mean squared error of the estimators in finite samples, and is superior to several popular trimming approaches over a wide range of settings.

Item Type: IHS Series
Keywords: Average treatment effect, econometric evaluation, penalizing, propensity score, shrinkage
Classification Codes (e.g. JEL): JEL codes: C14, C21
Status: Published
Date Deposited: 29 Jan 2015 13:21
Last Modified: 22 Jul 2017 03:20
URI: http://irihs.ihs.ac.at/id/eprint/2891

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