Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function
52 Pages Posted: 13 Jan 2016 Last revised: 1 Nov 2016
Date Written: October 24, 2016
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.
Keywords: average treatment effect conditional on covariates, uniform confidence band, double robustness, Gaussian approximation
JEL Classification: C14, C21
Suggested Citation: Suggested Citation