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Doubly robust uniform confidence band for the conditional average treatment effect function

Authors: Sokbae Lee , Ryo Okui and Yoon-Jae Whang
Date: 10 January 2016
Type: cemmap Working Paper, CWP03/16
DOI: 10.1920/wp.cem.2016.0316

Abstract

In this paper, we propose a doubly robust method to present the heterogeneity of the average treatment e ffect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment eff ect but the covariates of interest for analyzing heterogeneity are of much lower dimension. Our proposed estimator is doubly robust and avoids the curse of dimensionality. We propose a uniform confi dence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the eff ects of smoking on birth weights.

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