Arbeitspapier
Estimation of treatment effects with high-dimensional controls
We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly much larger than the sample size n, but where only s << n unknown controls or series terms are needed to approximate the regression function accurately. The latter sparsity condition makes it possible to estimate the entire regression function as well as the average treatment effect by selecting an approximately the right set of controls using Lasso and related methods. We develop estimation and inference methods for the average treatment effect in this setting, proposing a novel post double selection method that provides attractive inferential and estimation properties. In our analysis, in order to cover realistic applications, we expressly allow for imperfect selection of the controls and account for the impact of selection errors on estimation and inference. In order to cover typical applications in economics, we employ the selection methods designed to deal with non-Gaussian and heteroscedastic disturbances. We illustrate the use of new methods with numerical simulations and an application to the effect of abortion on crime rates.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP42/11
- Classification
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Wirtschaft
- Subject
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treatment effects
high-dimensional regression
inference under imperfect model selection
- Event
-
Geistige Schöpfung
- (who)
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Belloni, Alexandre
Chernozhukov, Victor
Hansen, Christian
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2011
- DOI
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doi:10.1920/wp.cem.2011.4211
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Belloni, Alexandre
- Chernozhukov, Victor
- Hansen, Christian
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2011
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