Matching on the Estimated Propensity Score / Alberto Abadie, Guido W. Imbens.

Format:

Book

Author/Creator:

Abadie, Alberto.

Contributor:

National Bureau of Economic Research.

Imbens, Guido W.

Series:

Working Paper Series (National Bureau of Economic Research) no. w15301.

NBER working paper series no. w15301

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2009.

Summary:

Propensity score matching estimators (Rosenbaum and Rubin, 1983) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity score is itself estimated in a first step, prior to matching. We prove that first step estimation of the propensity score affects the large sample distribution of propensity score matching estimators. Moreover, we derive an adjustment to the large sample variance of propensity score matching estimators that corrects for first step estimation of the propensity score. In spite of the great popularity of propensity score matching estimators, these results were previously unavailable in the literature.

Notes:

Print version record

August 2009.