New Evidence on the Finite Sample Properties of Propensity Score Matching and Reweighting Estimators

30 Pages Posted: 2 Mar 2009

See all articles by Matias Busso

Matias Busso

Inter-American Development Bank (IDB)

John E. DiNardo

University of Michigan at Ann Arbor - Gerald R. Ford School of Public Policy; National Bureau of Economic Research (NBER)

Justin McCrary

Columbia University - Law School; National Bureau of Economic Research (NBER)

Abstract

Currently available asymptotic results in the literature suggest that matching estimators have higher variance than reweighting estimators. The extant literature comparing the finite sample properties of matching to specific reweighting estimators, however, has concluded that reweighting performs far worse than even the simplest matching estimator. We resolve this puzzle. We show that the findings from the finite sample analyses are not inconsistent with asymptotic analysis, but are very specific to particular choices regarding the implementation of reweighting, and fail to generalize to settings likely to be encountered in actual empirical practice. In the DGPs studied here, reweighting typically outperforms propensity score matching.

Keywords: treatment effects, propensity score, semiparametric efficiency

JEL Classification: C14, C21, C52

Suggested Citation

Busso, Matias and DiNardo, John and McCrary, Justin, New Evidence on the Finite Sample Properties of Propensity Score Matching and Reweighting Estimators. IZA Discussion Paper No. 3998, Available at SSRN: https://ssrn.com/abstract=1351162

Matias Busso (Contact Author)

Inter-American Development Bank (IDB) ( email )

1300 New York Avenue NW
Washington, DC 20577
United States

John DiNardo

University of Michigan at Ann Arbor - Gerald R. Ford School of Public Policy ( email )

5238 Weill Hall
735 S. State St.
Ann Arbor, MI 48109-1220
734-647-7843 (Phone)

HOME PAGE: http://www-personal.umich.edu/~jdinardo/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Justin McCrary

Columbia University - Law School ( email )

435 West 116th Street
New York, NY 10025
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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