Estimating Conditional Average Treatment Effects with Heteroscedasticity by Model Averaging and Matching
结合模型平均与匹配估计异方差下的条件平均处理效应
We propose a model averaging approach, combined with a partition and matching method to estimate the conditional average treatment effects under heteroskedastic error settings. The proposed approach has asymptotic optimality and consistency of weights and estimator. Numerical studies show that our method has good finite-sample performances.