Authors
Xinwei Ma, Yuya Sasaki, Yulong Wang
Publication date
2022/1/31
Journal
Econometric Theory
Pages
1-34
Publisher
Cambridge University Press
Description
Extreme propensity scores arise in observational studies when treated and control units have very different characteristics. This is commonly referred to as limited overlap. In this paper, we propose a formal statistical test that helps assess the degree of limited overlap. Rejecting the null hypothesis in our test indicates either no or very mild degree of limited overlap and hence reassures that standard treatment effect estimators will be well behaved. One distinguishing feature of our test is that it only requires the use of a few extreme propensity scores, which is in stark contrast to other methods that require consistent estimates of some tail index. Without the need to extrapolate using observations far away from the tail, our procedure is expected to exhibit excellent size properties, a result that is also borne out in our simulation study.
Total citations
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Scholar articles
X Ma, Y Sasaki, Y Wang - Econometric Theory, 2022