Inverse Probability Weighted Estimation of Local Average Treatment Effects: A Higher Order MSE Expansion

We consider a new inverse probability weighted estimator for the local average treatment effect parameter where the instrument propensity score is estimated by local polynomial regression. We derive its asymptotics and provide a higher order expansion of its asymptotic MSE.

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Year of publication:	2014-02
Authors:	Donald, Stephen G. ; Hsu, Yu-Chin ; Lieli, Robert P.
Institutions:	Institute of Economics, Academia Sinica
Subject:	local average treatment effect \| inverse probability weighted estimator \| higher order expansion

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Extent:	application/pdf
Series:	IEAS Working Paper : academic research.
Type of publication:	Book / Working Paper
Notes:	Number 14-A002 13 pages
Classification:	C01 - Econometrics ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011277954