Contamination Bias in Linear Regressions

Fuente: arXiv
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Hauptverfasser: Goldsmith-Pinkham, Paul, Hull, Peter, Kolesár, Michal
Format: Preprint
Veröffentlicht: 2021
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author Goldsmith-Pinkham, Paul
Hull, Peter
Kolesár, Michal
author_facet Goldsmith-Pinkham, Paul
Hull, Peter
Kolesár, Michal
contents We study regressions with multiple treatments and a set of controls that is flexible enough to purge omitted variable bias. We show that these regressions generally fail to estimate convex averages of heterogeneous treatment effects -- instead, estimates of each treatment's effect are contaminated by non-convex averages of the effects of other treatments. We discuss three estimation approaches that avoid such contamination bias, including the targeting of easiest-to-estimate weighted average effects. A re-analysis of nine empirical applications finds economically and statistically meaningful contamination bias in observational studies; contamination bias in experimental studies is more limited due to smaller variability in propensity scores.
format Preprint
id arxiv_https___arxiv_org_abs_2106_05024
institution arXiv
publishDate 2021
record_format arxiv
spellingShingle Contamination Bias in Linear Regressions
Goldsmith-Pinkham, Paul
Hull, Peter
Kolesár, Michal
Econometrics
Methodology
We study regressions with multiple treatments and a set of controls that is flexible enough to purge omitted variable bias. We show that these regressions generally fail to estimate convex averages of heterogeneous treatment effects -- instead, estimates of each treatment's effect are contaminated by non-convex averages of the effects of other treatments. We discuss three estimation approaches that avoid such contamination bias, including the targeting of easiest-to-estimate weighted average effects. A re-analysis of nine empirical applications finds economically and statistically meaningful contamination bias in observational studies; contamination bias in experimental studies is more limited due to smaller variability in propensity scores.
title Contamination Bias in Linear Regressions
topic Econometrics
Methodology
url https://arxiv.org/abs/2106.05024