S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
IFAU - Institute for Evaluation of Labour Market and Education Policy Working Paper Series
IFAU - Institute for Evaluation of Labour Market and Education Policy

No 2015:3:
Correlation and efficiency of propensity score-based estimators for average causal effects

Ronnie Pingel () and Ingeborg Waernbaum ()

Abstract: Propensity score based-estimators are commonly used to estimate causal effects in evaluation research. To reduce bias in observational studies researchers might be tempted to include many, perhaps correlated, covariates when estimating the propensity score model. Taking into account that the propensity score is estimated, this study investigates how the efficiency of matching, inverse probability weighting and doubly robust estimators change under the case of correlated covariates. Propositions regarding the large sample variances under certain assumptions of the data generating process are given. The propositions are supplemented by several numerical large sample and finite sample results from a wide range of models. The results show that the correlation may increase or decrease the variances of the estimators. There are several factors that influence how correlation affects the variance of the estimators, including the choice of estimator, the strength of the confounding towards outcome and treatment, and whether a constant or non-constant causal effect is present.

Keywords: Double robust; inverse probability weighting; matching; observational study; (follow links to similar papers)

JEL-Codes: C13; C40; C52; (follow links to similar papers)

31 pages, February 12, 2015

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

wp2015-03-Correlation-and ... verage-causal-effects.pdf    PDF-file
Download Statistics
This paper is forthcoming as:
Pingel, Ronnie and Ingeborg Waernbaum, 'Correlation and efficiency of propensity score-based estimators for average causal effects', Communications in Statistics - Simulation and Computation.



Questions (including download problems) about the papers in this series should be directed to Monica Fällgren ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:ifauwp:2015_003 This page was generated on 2016-04-07 14:57:30