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A note on the variance of average treatment effects estimators

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  • Gabriel Montes-Rojas

    (City University London)

Abstract

We derive the variance of the Hirano, Imbens and Ridder (Econometrica 66, 315--31, 2003) average treatment effects estimator when the true propensity score is known. This variance is used in the derivation of the variance of a similar two-step estimator, where a M-estimator is used in the first step to estimate the propensity score.

Suggested Citation

  • Gabriel Montes-Rojas, 2009. "A note on the variance of average treatment effects estimators," Economics Bulletin, AccessEcon, vol. 29(4), pages 2937-2943.
    • Handle: RePEc:ebl:ecbull:eb-09-00525
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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P46.pdf
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    References listed on IDEAS

    as
    1. Jinyong Hahn, 1998. "On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects," Econometrica, Econometric Society, vol. 66(2), pages 315-332, March.
    2. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
    3. Guido W. Imbens, 2004. "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 4-29, February.
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    Cited by:

    1. Dridi, Ichrak & Boughrara, Adel, 2023. "Flexible inflation targeting and stock market volatility: Evidence from emerging market economies," Economic Modelling, Elsevier, vol. 126(C).
    2. Alejo, Javier & Galvao, Antonio F. & Montes-Rojas, Gabriel, 2018. "Quantile continuous treatment effects," Econometrics and Statistics, Elsevier, vol. 8(C), pages 13-36.

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    More about this item

    Keywords

    Average treatment effects; efficiency bound; two-step estimator;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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