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Doubly robust uniform confidence band for the conditional average treatment effect function

Journal article
Authors S. Lee
Ryo Okui
Y. J. Whang
Published in Journal of Applied Econometrics
Volume 32
Issue 7
Pages 1207-1225
ISSN 0883-7252
Publication year 2017
Published at Department of Economics
Pages 1207-1225
Language en
Links doi.org/10.1002/jae.2574
https://gup.ub.gu.se/file/207269
Keywords birth-weight, semiparametric efficiency, instrumental variables, propensity score, missing data, panel-data, regression, models, bootstrap, smoking
Subject categories Economics, Probability Theory and Statistics

Abstract

In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect but the covariates of interest for analyzing heterogeneity are of much lower dimension. Our proposed estimator is doubly robust and avoids the curse of dimensionality. We propose a uniform confidence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the effects of smoking on birth weights.

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