How Much Weak Overlap Can Doubly Robust T-Statistics Handle?
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arXiv
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866913802351542272 |
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| author | Dorn, Jacob |
| author_facet | Dorn, Jacob |
| contents | In the presence of sufficiently weak overlap, it is known that no regular root-n-consistent estimators exist and standard estimators may fail to be asymptotically normal. This paper shows that a thresholded version of the standard doubly robust estimator is asymptotically normal with well-calibrated Wald confidence intervals even when constructed using nonparametric estimates of the propensity score and conditional mean outcome. The analysis implies a cost of weak overlap in terms of black-box nuisance rates, borne when the semiparametric bound is infinite, and the contribution of outcome smoothness to the outcome regression rate, which is incurred even when the semiparametric bound is finite. As a byproduct of this analysis, I show that under weak overlap, the optimal global regression rate is the same as the optimal pointwise regression rate, without the usual polylogarithmic penalty. The high-level conditions yield new rules of thumb for thresholding in practice. In simulations, thresholded AIPW can exhibit moderate overrejection in small samples, but I am unable to reject a null hypothesis of exact coverage in large samples. In an empirical application, the clipped AIPW estimator that targets the standard average treatment effect yields similar precision to a heuristic 10% fixed-trimming approach that changes the target sample. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2504_13273 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | How Much Weak Overlap Can Doubly Robust T-Statistics Handle? Dorn, Jacob Econometrics Statistics Theory Methodology In the presence of sufficiently weak overlap, it is known that no regular root-n-consistent estimators exist and standard estimators may fail to be asymptotically normal. This paper shows that a thresholded version of the standard doubly robust estimator is asymptotically normal with well-calibrated Wald confidence intervals even when constructed using nonparametric estimates of the propensity score and conditional mean outcome. The analysis implies a cost of weak overlap in terms of black-box nuisance rates, borne when the semiparametric bound is infinite, and the contribution of outcome smoothness to the outcome regression rate, which is incurred even when the semiparametric bound is finite. As a byproduct of this analysis, I show that under weak overlap, the optimal global regression rate is the same as the optimal pointwise regression rate, without the usual polylogarithmic penalty. The high-level conditions yield new rules of thumb for thresholding in practice. In simulations, thresholded AIPW can exhibit moderate overrejection in small samples, but I am unable to reject a null hypothesis of exact coverage in large samples. In an empirical application, the clipped AIPW estimator that targets the standard average treatment effect yields similar precision to a heuristic 10% fixed-trimming approach that changes the target sample. |
| title | How Much Weak Overlap Can Doubly Robust T-Statistics Handle? |
| topic | Econometrics Statistics Theory Methodology |
| url | https://arxiv.org/abs/2504.13273 |