Heavy Tail Robust Estimation and Inference for Average Treatment Effects
平均处理效应的厚尾稳健估计与推断
We study the probability tail properties of Inverse Probability Weighting (IPW) estimators of the Average Treatment Effect (ATE) when there is limited overlap between the covariate distributions of the treatment and control groups. Under unconfoundedness of treatment assignment conditional on covariates, such limited overlap is manifested in the propensity score for certain units being very close (but not equal) to 0 or 1. This renders IPW estimators possibly heavy tailed,…