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STICERD Econometrics Seminar Series

Focused Information Criterion for Propensity Score Matching Estimators

Yoshiyasu Rai (University of Mannheim)

Thursday 01 June 2023 14:00 - 15:30

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

About this event

This paper studies the model selection problem for propensity score matching estimators of the average treatment effect (ATE) and the average treatment effect on the treated (ATET). I derive the large-sample distributions of these estimators in a local asymptotic framework and characterize their asymptotic bias and variance with respect to the first-stage propensity score model choice. The result shows that the largest propensity score model achieves the smallest asymptotic mean squared error for the ATE estimator. For the ATET estimator, I show that the propensity score model choice induces a nontrivial asymptotic bias-variance trade-off. Based on these findings, I propose a focused information criterion for the propensity score matching estimator of the ATET that aims to minimize the estimated mean squared error. A simulation study demonstrates that the proposed method generally achieves a smaller mean squared error than other methods with a modest sample size.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Sadia Ali:

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