Group Average Treatment Effects for Observational Studies
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The paper proposes an estimator to make inference on key features of heterogeneous treatment effects sorted by impact groups (GATES) for non-randomised experiments. Observational studies are standard in policy evaluation from labour markets, educational surveys, and other empirical studies. To control for a potential selection-bias we implement a doubly-robust estimator in the first stage. Keeping the flexibility to use any machine learning method to learn the conditional mean functions as well as the propensity score we also use machine learning methods to learn a function for the conditional average treatment effect. The group average treatment effect is then estimated via a parametric linear model to provide p-values and confidence intervals. The result is a best linear predictor for effect heterogeneity based on impact groups. Cross-splitting and averaging for each observation is a further extension to avoid biases introduced through sample splitting. The advantage of the proposed method is a robust estimation of heterogeneous group treatment effects under mild assumptions, which is comparable with other models and thus keeps its flexibility in the choice of machine learning methods. At the same time, its ability to deliver interpretable results is ensured.
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