Estimation of Conditional Average Treatment Effects with High-Dimensional Data

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Tác giả: Qingliang Fan, Yu-Chin Hsu, Robert P Lieli, Yichong Zhang

Ngôn ngữ: eng

Ký hiệu phân loại: 001.434 Experimental method

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 163185

Comment: 73 pages, fixed the missing reference in the previous versionGiven the unconfoundedness assumption, we propose new nonparametric estimators for the reduced dimensional conditional average treatment effect (CATE) function. In the first stage, the nuisance functions necessary for identifying CATE are estimated by machine learning methods, allowing the number of covariates to be comparable to or larger than the sample size. The second stage consists of a low-dimensional local linear regression, reducing CATE to a function of the covariate(s) of interest. We consider two variants of the estimator depending on whether the nuisance functions are estimated over the full sample or over a hold-out sample. Building on Belloni at al. (2017) and Chernozhukov et al. (2018), we derive functional limit theory for the estimators and provide an easy-to-implement procedure for uniform inference based on the multiplier bootstrap. The empirical application revisits the effect of maternal smoking on a baby's birth weight as a function of the mother's age.
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