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

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  • Sokbae Lee
    Department of Economics Columbia University New York NY USA
  • Ryo Okui
    NYU Shanghai 1555 Century Avenue, Pudong Shanghai 200122 China
  • Yoon‐Jae Whang
    Department of Economics Seoul National University Seoul Republic of Korea

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<jats:title>Summary</jats:title><jats:p>In this paper, we 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.</jats:p>

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