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A Unified Framework for Efficient Estimation of General Treatment Models

Authors: Chunrong Ai , Oliver Linton , Kaiji Motegi and Zheng Zhang
Date: 29 November 2019
Type: cemmap Working Paper, CWP64/19
DOI: 10.1920/wp.cem.2019.6419

Abstract

This paper presents a weighted optimization framework that unifies the binary, multi-valued, continuous, as well as mixture of discrete and continuous treatment, under unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile and asymmetric least squares causal effect of treatment as special cases. For this general framework, we first derive the semiparametric efficiency bound for the causal effect of treatment, extending the existing bound results to a wider class of models. We then propose a generalized optimization estimator for the causal effect with weights estimated by solving an expanding set of equations. Under some sufficient conditions, we establish the consistency and asymptotic normality of the proposed estimator of the causal effect and show that the estimator attains the semiparametric efficiency bound, thereby extending the existing literature on efficient estimation of causal effect to a wider class of applications. Finally, we discuss estimation of some causal effect functionals such as the treatment effect curve and the average outcome. To evaluate the finite sample performance of the proposed procedure, we conduct a small-scale simulation study and find that the proposed estimation has practical value. To illustrate the applicability of the procedure, we revisit the literature on campaign advertising and campaign contributions. Unlike the existing procedures, which produce mixed results, we find no evidence of campaign advertising on campaign contribution.

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