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

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  • Sokbae Lee
  • Ryo Okui
  • Yoon†Jae Whang

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.

Suggested Citation

  • Sokbae Lee & Ryo Okui & Yoon†Jae Whang, 2017. "Doubly robust uniform confidence band for the conditional average treatment effect function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1207-1225, November.
    • Handle: RePEc:wly:japmet:v:32:y:2017:i:7:p:1207-1225
    DOI: 10.1002/jae.2574
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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