Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function

52 Pages Posted: 13 Jan 2016 Last revised: 1 Nov 2016

See all articles by Sokbae Lee

Sokbae Lee

Seoul National University

Ryo Okui

Seoul National University

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: October 24, 2016

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.

Keywords: average treatment effect conditional on covariates, uniform confidence band, double robustness, Gaussian approximation

JEL Classification: C14, C21

Suggested Citation

Lee, Sokbae and Okui, Ryo and Whang, Yoon-Jae, Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function (October 24, 2016). Available at SSRN: https://ssrn.com/abstract=2714357 or http://dx.doi.org/10.2139/ssrn.2714357

Sokbae Lee

Seoul National University ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

Ryo Okui (Contact Author)

Seoul National University ( email )

Seoul
Korea, Republic of (South Korea)

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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