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Endogenous treatment effect for any response conditional on control propensity score

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  • Choi, Jin-young
  • Lee, Goeun
  • Lee, Myoung-jae

Abstract

In finding X-heterogeneous effects of an endogenous treatment D on a response Y where X is covariates and an instrument δ is available, we overcome the X-dimension problem, by conditioning on the “control propensity score” E(D|X,δ=0). We propose two estimators allowing for any form of Y.

Suggested Citation

  • Choi, Jin-young & Lee, Goeun & Lee, Myoung-jae, 2023. "Endogenous treatment effect for any response conditional on control propensity score," Statistics & Probability Letters, Elsevier, vol. 196(C).
    • Handle: RePEc:eee:stapro:v:196:y:2023:i:c:s0167715222002607
    DOI: 10.1016/j.spl.2022.109747
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    References listed on IDEAS

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    1. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    2. Myoung-Jae Lee, 2018. "Simple least squares estimator for treatment effects using propensity score residuals," Biometrika, Biometrika Trust, vol. 105(1), pages 149-164.
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    6. Lee, Myoung-jae, 2016. "Matching, Regression Discontinuity, Difference in Differences, and Beyond," OUP Catalogue, Oxford University Press, number 9780190258740.
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    8. Myoung‐jae Lee, 2021. "Instrument residual estimator for any response variable with endogenous binary treatment," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(3), pages 612-635, July.
    9. Lee, Myoung-jae, 2005. "Micro-Econometrics for Policy, Program and Treatment Effects," OUP Catalogue, Oxford University Press, number 9780199267699.
    10. Elizabeth L. Ogburn & Andrea Rotnitzky & James M. Robins, 2015. "Doubly robust estimation of the local average treatment effect curve," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(2), pages 373-396, March.
    11. Imbens,Guido W. & Rubin,Donald B., 2015. "Causal Inference for Statistics, Social, and Biomedical Sciences," Cambridge Books, Cambridge University Press, number 9780521885881, September.
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    Cited by:

    1. Lee Goeun & Choi Jin-young & Lee Myoung-jae, 2023. "Minimally capturing heterogeneous complier effect of endogenous treatment for any outcome variable," Journal of Causal Inference, De Gruyter, vol. 11(1), pages 1-25.

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