The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators

48 Pages Posted: 15 Feb 2016

See all articles by Hugo Bodory

Hugo Bodory

University of St. Gallen

Lorenzo Camponovo

University of St. Gallen

Martin Huber

University of Fribourg

Michael Lechner

University of St. Gallen - Swiss Institute for Empirical Economic Research

Abstract

This paper investigates the finite sample properties of a range of inference methods for propensity score-based matching and weighting estimators frequently applied to evaluate the average treatment effect on the treated. We analyse both asymptotic approximations and bootstrap methods for computing variances and confidence intervals in our simulation design, which is based on large scale labor market data from Germany and varies w.r.t. treatment selectivity, effect heterogeneity, the share of treated, and the sample size. The results suggest that in general, the bootstrap procedures dominate the asymptotic ones in terms of size and power for both matching and weighting estimators. Furthermore, the results are qualitatively quite robust across the various simulation features.

Keywords: inference, variance estimation, treatment effects, matching, inverse probability weighting

JEL Classification: C21

Suggested Citation

Bodory, Hugo and Camponovo, Lorenzo and Huber, Martin and Lechner, Michael, The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators. IZA Discussion Paper No. 9706, Available at SSRN: https://ssrn.com/abstract=2731969

Hugo Bodory (Contact Author)

University of St. Gallen ( email )

Varnbuelstr. 14
Saint Gallen, St. Gallen CH-9000
Switzerland

Lorenzo Camponovo

University of St. Gallen ( email )

Varnbuelstr. 14
Saint Gallen, St. Gallen CH-9000
Switzerland

Martin Huber

University of Fribourg ( email )

Bd de PĂ©rolles 90
Fribourg, Fribourg CH-1700
Switzerland

Michael Lechner

University of St. Gallen - Swiss Institute for Empirical Economic Research ( email )

Varnbuelstrasse 14
St. Gallen, 9000
Switzerland
+41 71 224 2320 (Phone)

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