Seminar

Contamination Bias in Linear Regression

Speaker

Paul Goldsmith-Pinkham (Yale SOM)

Date & Time

21 March 2023

Type

Seminar

Venue

The Institute for Fiscal Studies
7 Ridgmount Street,
Fitzrovia,
London,
WC1E 7AE

Abstract: We study regressions with multiple treatments and a set of controls that is flexible enough to purge omitted variable bias. We show these regressions generally fail to estimate convex averages of heterogeneous treatment effects; instead, estimates of each treatment’s effect are contaminated by non-convex averages of the effects of other treatments. We discuss three estimation approaches that avoid such contamination bias, including a new estimator of efficiently weighted average effects. We find minimal bias in a re-analysis of Project STAR, due to idiosyncratic effect heterogeneity. But sizeable contamination bias arises when effect heterogeneity becomes correlated with treatment propensity scores.

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contact cemmapevent@ifs.org.uk for more information.