Abstract

https://ssrn.com/abstract=2911470
 


 



Practical Procedures to Deal with Common Support Problems in Matching Estimation


Michael Lechner


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

Anthony Strittmatter


Albert-Ludwigs University of Freiburg; University of St. Gallen


IZA Discussion Paper No. 10532

Abstract:     
This paper assesses the performance of common estimators adjusting for differences in covariates, such as matching and regression, when faced with so-called common support problems. It also shows how different procedures suggested in the literature affect the properties of such estimators. Based on an Empirical Monte Carlo simulation design, a lack of common support is found to increase the root mean squared error (RMSE) of all investigated parametric and semiparametric estimators. Dropping observations that are off support usually improves their performance, although the magnitude of the improvement depends on the particular method used.

Number of Pages in PDF File: 29

Keywords: Empirical Monte Carlo Study, matching estimation, regression, common support, outlier, small sample performance

JEL Classification: C21, J68


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Date posted: February 5, 2017  

Suggested Citation

Lechner, Michael and Strittmatter, Anthony, Practical Procedures to Deal with Common Support Problems in Matching Estimation. IZA Discussion Paper No. 10532. Available at SSRN: https://ssrn.com/abstract=2911470

Contact Information

Michael Lechner (Contact Author)
University of St. Gallen - Swiss Institute for Empirical Economic Research ( email )
Varnbuelstrasse 14
St. Gallen, 9000
Switzerland
+41 71 224 2320 (Phone)
Anthony Strittmatter
Albert-Ludwigs University of Freiburg ( email )
Department of Applied Econometrics
Platz der Alten Synagoge
Freiburg, D-79085
Germany
+49 761 203 2339 (Phone)
+49 761 203 2340 (Fax)
HOME PAGE: http://www.empiwifo.uni-freiburg.de/personen-staff/anthony-strittmatter
University of St. Gallen ( email )
Varnbuelstr. 14
St. Gallen, CH-9000
Switzerland

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