[Limdep Nlogit List] PSM estimation defaults
Jill CavigliaHarris
jlcavigliaharris at salisbury.edu
Tue Sep 15 06:42:45 EST 2009
Bill:
Thanks for your response. Based on this I am a little confused by my
output. I may be interpreting the offsupport incorrectly... The
following are estimations of the ATT based on the same probit
estimations of the PSM (with the same data) and use the 'nearest
neighbor,' 'range' (caliper) and 'kernel,' in that order,  each
includes a different number of treated observations. The results read as
follows:
For the nearest neighbor (we have a total of 24 treated  all
included)
++
 Number of Treated observations = 24 Number of controls = 15

 Estimated Average Treatment Effect = 4.270833

 Estimated Asymptotic Standard Error = .810050

 t statistic (ATT/Est.S.E.) = 5.272308

 Confidence Interval for ATT = ( 2.683135 to 5.858531) 95%

 Average Bootstrap estimate of ATT = 4.003685

 ATT  Average bootstrap estimate = .267148

++
For the range (caliper)  again we have a total of 24 treated  12 are
included
++
 Number of Treated observations = 12 Number of controls = 95

 Estimated Average Treatment Effect = 1.898789

 Estimated Asymptotic Standard Error = .701460

 t statistic (ATT/Est.S.E.) = 2.706909

 Confidence Interval for ATT = ( .523927 to 3.273651) 95%

 Average Bootstrap estimate of ATT = 1.876323

 ATT  Average bootstrap estimate = .022466

++
for the kernel   we have a total of 24 treated  only 20 are used (on
support)  is that what this means?
++
 Number of Treated observations = 20 Number of controls = 169

 Estimated Average Treatment Effect = 3.565033

 Estimated Asymptotic Standard Error = .900702

 t statistic (ATT/Est.S.E.) = 3.958062

 Confidence Interval for ATT = ( 1.799658 to 5.330408) 95%

 Average Bootstrap estimate of ATT = 3.173718

 ATT  Average bootstrap estimate = .391314

++
If the kernel methods uses all of the treated observations to estimate
the ATT should the above read 24 and not 20?
Thanks. Jill
Jill CavigliaHarris
Associate Professor
Economics and Finance Department
Salisbury University
Salisbury, MD 21801
(410) 5485591
>>> William Greene <wgreene at stern.nyu.edu> 9/11/2009 6:35 PM >>>
Jill.
There are three candidates for deciding who is a nearby observation,
'nearest neighbor,' 'kernel,' or 'range' (caliper). But, all of the
treated observations are used. There is no "trimming" built into the
program. You are right about the bandwidth for the kernel approach;
the default is .06. If you (the user) supply a value between .001
and .250 using ;Smooth=value, then that value is used instead.
Regards,
Bill Greene
 Original Message 
From: "Jill CavigliaHarris" <jlcavigliaharris at salisbury.edu>
To: limdep at limdep.itls.usyd.edu.au
Cc: "Erin Sills" <erin_sills at ncsu.edu>
Sent: Friday, September 11, 2009 2:36:52 PM GMT 05:00 Columbia
Subject: [Limdep Nlogit List] PSM estimation defaults
LimDep Users Group:
I recently posted a question about the kernel PSM methodology used in
LimDep but have not received a response, perhaps with further detail
this can be addressed…. My question is about the default setting in
LimDep. It’s my understanding that there are many different
variations
on kernel, including different ways to set bandwidth and to "trim"
treated observations that are offsupport (Frolich 2004; Calienddo
and
Kopeinig 2005). Based on recent estimation results it appears that
LimDep does trim the results – in other words does not use every one
of
the treated observations in estimating the ATT. I assume the default
was no trimming would be done – but this appears to be a false
assumption. The LimDep manual states that the default is a bandwidth
of
0.06 (E323; E3220) but no information is provided on trimming.
Anyone
have insight on this?
Thanks. Jill
Jill CavigliaHarris
Associate Professor
Economics and Finance Department
Salisbury University
Salisbury, MD 21801
(410) 5485591
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