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Gabriel Montes-Rojas
''A note on the variance of average treatment effects estimators''
( 2009, Vol. 29 No.4 )
We derive the variance of the Hirano, Imbens and Ridder (Econometrica 66, 315--31, 2003) average treatment effects estimator when the true propensity score is known. This variance is used in the derivation of the variance of a similar two-step estimator, where a M-estimator is used in the first step to estimate the propensity score.
Keywords: Average treatment effects; efficiency bound; two-step estimator;
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Sep 04 2009 Manuscript Accepted : Nov 24 2009

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