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Effects of correlated covariates on the asymptotic efficiency of matching and inverse probability weighting estimators for causal inference
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics. Institute for Evaluation of Labour Market and Education Policy, Uppsala, Sweden.
2015 (English)In: Statistics (Berlin), ISSN 0233-1888, E-ISSN 1029-4910, Vol. 49, no 4, 795-814 p.Article in journal (Refereed) Published
Abstract [en]

In observational studies, the overall aim when fitting a model for the propensity score is to reduce bias for an estimator of the causal effect. To make the assumption of an unconfounded treatment plausible researchers might include many, possibly correlated, covariates in the propensity score model. In this paper, we study how the asymptotic efficiency of matching and inverse probability weighting estimators for average causal effects change when the covariates are correlated. We investigate the case with multivariate normal covariates, a logistic model for the propensity score and linear models for the potential outcomes and show results under different model assumptions. We show that the correlation can both increase and decrease the large sample variances of the estimators, and that the correlation affects the asymptotic efficiency of the estimators differently, both with regard to direction and magnitude. Moreover, the strength of the confounding towards the outcome and the treatment plays an important role.

Place, publisher, year, edition, pages
2015. Vol. 49, no 4, 795-814 p.
Keyword [en]
correlation, efficiency bound, observation study, propensity score, 62F12, 62H12
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-107075DOI: 10.1080/02331888.2014.925899ISI: 000357649900005OAI: oai:DiVA.org:umu-107075DiVA: diva2:866988
Available from: 2015-11-04 Created: 2015-08-18 Last updated: 2016-01-13Bibliographically approved

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