Authors
Qingliang Fan, Yu-Chin Hsu, Robert P Lieli, Yichong Zhang
Publication date
2022/1/2
Journal
Journal of Business & Economic Statistics
Volume
40
Issue
1
Pages
313-327
Publisher
Taylor & Francis
Description
Given the unconfoundedness assumption, we propose new nonparametric estimators for the reduced dimensional conditional average treatment effect (CATE) function. In the first stage, the nuisance functions necessary for identifying CATE are estimated by machine learning methods, allowing the number of covariates to be comparable to or larger than the sample size. The second stage consists of a low-dimensional local linear regression, reducing CATE to a function of the covariate(s) of interest. We consider two variants of the estimator depending on whether the nuisance functions are estimated over the full sample or over a hold-out sample. Building on Belloni at al. and Chernozhukov et al., we derive functional limit theory for the estimators and provide an easy-to-implement procedure for uniform inference based on the multiplier bootstrap. The empirical application revisits the effect of maternal smoking on a …
Total citations
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Scholar articles
Q Fan, YC Hsu, RP Lieli, Y Zhang - Journal of Business & Economic Statistics, 2022