Journal Article

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

Date: 18 August 2017
Publisher: Wiley
DOI: 10.1002/jae.2574

In this paper, the authors propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect 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 confidence band that is easy to compute, and we illustrate its usefulness via Monte Carlo experiments and an application to the effects of smoking on birth weights.