Clase 2 Regression Matching and PSM B

Clase 2: Seleccin por Observables, Matching, y
Propensity Score
Ricardo A Pasquini
IAE B.S. and MEU-UTDT
August 2013
Ricardo A Pasquini (IAE B.S. and MEU-UTDT)
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Seleccin por Observables y el Supuesto de Independencia

Condicional
Conditional Independence Assumption (CIA) - Selection on

Observables
Review
We can think about causality using the potential outcomes

framework:
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Condicional

Observables
Review

framework:
A given individual faces two possible scenarios: it will be part of a
treatment or it will not.
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Condicional

Observables
Review

framework:
In each scenario it will report an outcome we are interested in.
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Condicional

Observables
Review

framework:
If the outcome under both scenarios were the same, therefore there
would no be eect related to the treatment.
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Condicional

Observables
Review

framework:
For a given individual, we are only able to observe one scenario => We
use statistics to learn on the average.
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Condicional

Observables
Review

framework:
Comparing treated and not-treated will NOT result in the eect we

are interested in.
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Condicional

Observables
Review

framework:
Comparing treated and not-treated will NOT result in the eect we

are interested in.
As we saw, one (ideal) way to evaluate potential outcomes are
experiments: randomnization.
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Condicional

Observables
Review
When no experiments (or natural experiments) are available, we look

for other options. We will evaluate many of them in this course.
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Condicional

Observables
Review

Alternatives come at a cost: they imply making certain assumptions.
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Condicional

Observables
Review

The rst we analyze is widely used, this is the assumming Conditional
Independence (CIA).
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Condicional

Observables
Review

Independence (CIA).
As we will see, the CIA assumes that if a certain group of variables
are controlled for, then individuals can be considered similar enough
for comparison purposes.
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Condicional

Observables
Review

Independence (CIA).
As we will see, the CIA assumes that if a certain group of variables
are controlled for, then individuals can be considered similar enough
for comparison purposes.
This assumption is sometimes called selection-on-observables because
the covariates to be held xed are assumed to be known and observed.
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Condicional
CIA - Selection on Observables

Review
Lets recall the framework: Treatment Di = f0, 1g . and for a given

individual i the potential outcome is
potential outcome
Y1i if Di = 1
Y0i if Di = 0
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Condicional

Review
Previously, we obtained an expression for the the outcome of

dierentiating program participants to non-participants.
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Condicional

Review
Previously, we obtained an expression for the the outcome of

dierentiating program participants to non-participants.
This dierence is equal to the Treatment on the Treated Eect (an
interesting expression to us) plus a selection bias:
E [ Yi j D i = 1 ]
E [ Yi j D i = 0 ]
E [Y1i j Di = 1] E [Y0i j Di = 1]
Average Eect of the Treatment on the Treated
+E [Y0i j Di = 0]
E [Y0i j Di = 1]
Selection Bias
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Condicional

Now the innovation: The CIA states that conditional on a number of
observed characteristics Xi , the potential outcomes are independent
of the treatment (e.g., the same probability to achieve a high -or lowpotential outcome if took the treatment or not).
fY0i , Y1i g q Di j Xi
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Condicional

Now the innovation: The CIA states that conditional on a number of
observed characteristics Xi , the potential outcomes are independent
of the treatment (e.g., the same probability to achieve a high -or lowpotential outcome if took the treatment or not).
fY0i , Y1i g q Di j Xi
Therefore, selection bias dissapears, and the dierence between
participants and non participants will result in the treatment eect:
E [ Yi j Xi , D i = 1 ]
E [Yi j Xi , Di = 0] = E [Y1i
Y0i j Xi ]
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Condicional

Treatment takes more than two values
Now we expand the approach to a treatment variable that takes more

than two values (think on the relationship between number of
schooling years and earnings). Call this variable si , and use the
following notation for the potential outcome:
Ysi
fi (s )
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Condicional


Ysi
fi (s )
f i tells us how much would individual i would gain for any number of
years of schooling s.
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Condicional


Ysi
fi (s )
f i tells us how much would individual i would gain for any number of
years of schooling s.
The CIA in this setup becomes:
Ysi q si j Xi
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Condicional

Conditional on Xi , the average causal eect of a one year increase in

schooling is E [fi (s ) fi (s 1) j Xi ]
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Condicional


We only observe Yi = fi (Si ), however, that is fi (s ) with s = Si .
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Condicional


But given the CIA, this comparison has a causal interpretation:
E [ Yi j Xi , Si = s ]
E [fi (s )
E [Yi j Xi , Si = s
fi (s
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1] =
1 ) j Xi ]
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Condicional


But given the CIA, this comparison has a causal interpretation:
E [ Yi j Xi , Si = s ]
E [Yi j Xi , Si = s
E [fi (s )
fi (s
1] =
1 ) j Xi ]
For example we might want to compare the additional eect of a year

at the school:
E [Yi j Xi , Si = 12]
E [Yi j Xi , Si = 11]
= E [fi (12) j Xi , Si = 12]

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E [fi (11) j Xi , Si = 11]

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Condicional

And because of the CIA...the selection bias dissapears...
E [fi (12) j Xi , Si = 12]
E [fi (11) j Xi , Si = 11]
= E [fi (12) j Xi , Si = 12] E [fi (11) j Xi , Si = 12]

+E [fi (11) j Xi , Si = 12] E [fi (11) j Xi , Si = 11]
= E [fi (12) fi (11) j Xi , Si = 12]
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Condicional

And because of the CIA...the selection bias dissapears...
E [fi (12) j Xi , Si = 12]
E [fi (11) j Xi , Si = 11]
= E [fi (12) j Xi , Si = 12] E [fi (11) j Xi , Si = 12]

+E [fi (11) j Xi , Si = 12] E [fi (11) j Xi , Si = 11]
= E [fi (12) fi (11) j Xi , Si = 12]
In the practice this implies that we are able to obtain the TOT eect
by taking the dierence between graduates and dropouts for the same
cohort.
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Condicional

Regression with the CIA also allows to nding causal eects.
fi (s ) = + s + i
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Condicional


We can do this by assuming that fi (s ) is both linear in s and the
same for everyone except for an additive error term.
fi (s ) = + s + i
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Condicional


We would employ a regression like:
fi (s ) = + s + i
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Condicional


fi (s ) = + s + i
where s does not have a subscript i because of the second assumption.
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Condicional


fi (s ) = + s + i
where s does not have a subscript i because of the second assumption.
Even so, allowing for random variation in fi (s ) across people, and for
non-linearity for a given person, regression can be thought of a
strategy for the estimation of a weighted average of the
individual-speci c dierence, fi (s ) fi (s 1). In fact, regression
can be seen as a particular sort of matching estimator.
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Condicional

Incorporating the CIA in the regression
If we replace s for the realized Si we have a model that we can

estimate.
Yi = + Si + i
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Condicional

If we replace s for the realized Si we have a model that we can

estimate.
Yi = + Si + i
However, because of the selection bias we know that the Si might be
correlated with the fi (s ).
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Condicional

Suppose that the CIA holds. We can think that the errors are a linear
function of the observables and an error term:
0
i = Xi + vi
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Condicional

Suppose that the CIA holds. We can think that the errors are a linear
function of the observables and an error term:
0
i = Xi + vi
Because is dened by the regression of i on Xi ; the residual vi and
Xi are uncorrelated by construction.
0
E [fi (s ) j Xi , Si ] = E [fi (s ) j Xi ] = + s + E [ i j Xi ] = + s + Xi
0
Yi = + s + Xi + vi
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Matching
Matching has been widely used in the last 2 decades.
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Matching

Similarly to regression, the CIA is the main assumption.
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Matching

Similarly to regression, the CIA is the main assumption.
Angrist and Pischke show that Matching and Regression are closely
related: Both can be seen as weighted averages of individual eects,
using dierent weights.
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Matching
Using the CIA the selection bias dissapears after conditioning on Xi .
We can calculate the TOT by iterating on the values of X.
TOT
y0i j Di = 1]
E [y1i
= EX fEY [y1i
TOT
y0i j Xi , Di = 1] j Di = 1g
EX [EY [y1i j Xi , Di = 1]
= EX [ X j D i = 1 ]
EY [y0i j Xi , Di = 0] j Di = 1]
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Matching
TOT
y0i j Di = 1]
E [y1i
= EX fEY [y1i
y0i j Xi , Di = 1] j Di = 1g
The 1st equality is the denition of TOT and the 2nd equality makes
Xi appear, using the law of iterated expectations.
TOT
= EX [ X j D i = 1 ]
EY [y0i j Xi , Di = 0] j Di = 1]
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Matching
TOT
y0i j Di = 1]
E [y1i
= EX fEY [y1i
y0i j Xi , Di = 1] j Di = 1g
The 1st equality is the denition of TOT and the 2nd equality makes
Xi appear, using the law of iterated expectations.
By virtue of the CIA, we can substitute
EY [y0i j Xi , Di = 1] = EY [y0i j Xi , Di = 0]
TOT
= EX [ X j D i = 1 ]
EY [y0i j Xi , Di = 0] j Di = 1]
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Matching
Where: X = EY [y1i j Xi , Di = 1] EY [y0i j Xi , Di = 0] is the

random X-specic dierence in outcomes between treated and
non-treated at each value of Xi . For the discrete case we have:
E [y1i
y0i j Di = 1] =
X P ( Xi = x j D i = 1 )
x
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Matching
Where: X = EY [y1i j Xi , Di = 1] EY [y0i j Xi , Di = 0] is the

random X-specic dierence in outcomes between treated and
non-treated at each value of Xi . For the discrete case we have:
E [y1i
y0i j Di = 1] =
X P ( Xi = x j D i = 1 )
x
Where P (Xi = x j Di = 1) is the probability mass function for Xi

given that Di = 1.
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Matching
Angrist (1998) Eect of Military on Earnings
Angrist uses this last estimator to measure the eect of military on

earnings.
ATE
EY [y0i j Xi , Di = 0]] =
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X P ( Xi = x )
x
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Matching

earnings.
In this case, Xi , takes on values determined by all possible
combinations of year of birth, test-score group, year of
application to the military, and educational attainment at the
time of application.
ATE
EY [y0i j Xi , Di = 0]] =
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X P ( Xi = x )
x
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Matching

earnings.
Until this point we have analyzed the TOT eect (given Di = 1). But
notice that just as easily we can derive the unconditional expression:
the ATE (Average Treatment Eect)
ATE
EY [y0i j Xi , Di = 0]] =
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X P ( Xi = x )
x
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Matching

earnings.
Until this point we have analyzed the TOT eect (given Di = 1). But
notice that just as easily we can derive the unconditional expression:
the ATE (Average Treatment Eect)
ATE
EY [y0i j Xi , Di = 0]] =
X P ( Xi = x )
x
Where the expectation on X is unconditional to the value of Di .
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Matching
TOT tells us how much the typical soldier gained or lost as a

consequence of military service, while ATE tells us how much the
typical applicant to the military gained or lost (in Angrist (1998),
population consists of applicants.)
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Matching

The US military tends to be fairly picky about its soldiers, especially
after downsizing at the end of the Cold War.
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Matching

For the most part, the military now takes only high school graduates
with test scores in the upper half of the test score distribution.
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Matching

For the most part, the military now takes only high school graduates
with test scores in the upper half of the test score distribution.
The resulting positive screening generates positive selection bias in
naive comparisons of veteran and non-veteran earnings.
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Matching
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Matching
Angrist (1998)
Notice that once controlling for the relevant covariates (as in the
matching case), the dierence turns negative. Recall that the
estimates here correspond to the weighted average of the dierences
for each category of X.
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Matching
Angrist (1998) Further Details
Finally Column 4 reports the estimation of a (saturated) regression

model:
Yi =
ix x + R Di + i
x
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Matching
Angrist (1998) Further Details
Finally Column 4 reports the estimation of a (saturated) regression

model:
Yi =
ix x + R Di + i
x
where ix is a dummy that indicates Xi = x, x is a regression-eect

for Xi = x, and R is the regression estimand.
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Matching
Comparing Regression and Matching
The reason the regression and matching estimates are similar is that
regression, too, can be seen as a sort of matching estimator:
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Matching
the regression estimand diers from the matching estimands only in the
weights used to sum the covariate-speci c eects, X into a single
eect.
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Matching
eect.
In particular, matching uses the distribution of covariates among the
treated to weight covariate-specic estimates into an estimate of the
eect of TOT, while regression produces a variance-weighted average
of these eects.
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Matching
eect.
In particular, matching uses the distribution of covariates among the
treated to weight covariate-specic estimates into an estimate of the
eect of TOT, while regression produces a variance-weighted average
of these eects.
For the demonstration, see the book.
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Matching
The point is that the treatment-on-the-treated estimand puts the

most weight on covariate cells containing those who are most likely to
be treated. In contrast, regression puts the most weight on covariate
cells where the conditional variance of treatment status is largest. As
a rule, this variance is maximized when P (Di = 1 j Xi = x ) = 21 , in
other words, for cells where there are equal numbers of treated and
control observations.
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Matching
The point is that the treatment-on-the-treated estimand puts the

most weight on covariate cells containing those who are most likely to
be treated. In contrast, regression puts the most weight on covariate
cells where the conditional variance of treatment status is largest. As
a rule, this variance is maximized when P (Di = 1 j Xi = x ) = 21 , in
other words, for cells where there are equal numbers of treated and
control observations.
Note that both estimators will have common support, this is, they will
be limited to covariate values where both treated and control
observations are found.
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Propensity Score Matching (PSM)
Propensity score matching (PSM) constructs a statistical comparison

group that is based on a model of the probability of participating in
the treatment, using observed characteristics.
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Propensity score matching (PSM) constructs a statistical comparison

group that is based on a model of the probability of participating in
the treatment, using observed characteristics.
The idea is to match each individual in the treatment group with a
individual in the control group with a similar probability of taking up
the program.
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This involves two assumptions:
0 < P (Ti = 1jXi ) < 1
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CIA: No program take up due to unobserved factors. Self-selection bias
is eliminated.
0 < P (Ti = 1jXi ) < 1
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is eliminated.
In this, the PSM technique is therefore similar to simple Regression and
Matching.
0 < P (Ti = 1jXi ) < 1
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is eliminated.
Matching.
Presence of a common support or overlap condition, which guarantees

that I will be able to nd a "similar" individual in the control group.
0 < P (Ti = 1jXi ) < 1
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is eliminated.
Matching.
Presence of a common support or overlap condition, which guarantees

that I will be able to nd a "similar" individual in the control group.
0 < P (Ti = 1jXi ) < 1

If P (Ti = 1jXi ) = 1, all of them would be takers...
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Common Support Example
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In the practice, estimation in three steps:
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First, p (Ti = 1jXi ) is estimated using some kind of parametric model,
say, Logit or Probit.
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Second, dierent approaches can be used to match participants and
nonparticipants on the basis of p (Ti = 1jXi )
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Third, estimates of the TOT are computed by evaluating the
dierences.
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dierences.
where w (i, j ) are weights when are more than one control for each
treated observation.
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dierences.
where w (i, j ) are weights when are more than one control for each
treated observation.
An alternative is to use a regression and the p (Ti = 1jXi ) as weights.
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Matching participants and non-participants:

Nearest-neighbor: just take the n nearest neighbors on the basis of
p ( T i = 1 j Xi ) .
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p ( T i = 1 j Xi ) .
Caliper or radius matching: there might not be long distance

neighbors, then impose a radius or threshold.
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p ( T i = 1 j Xi ) .

Stratication or interval matching. Partitionates the common support

into strata (or intervals) and calculates the programs impact within
each interval.
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p ( T i = 1 j Xi ) .

Stratication or interval matching. Partitionates the common support

into strata (or intervals) and calculates the programs impact within
each interval.
Kernel Matching : Takes into account all possible matches and
weights them according to distance.
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Estimating eects using Matching and PSM in Stata
nnmatch Matching estimation.
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notice that the keep(lename) option allows using the matched
database
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database
pscore Calculating the propensity score
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database

attnd Calculating program eects through nearest neighbor matching
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database

atts Using Stratication matching
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database

attk Using kernel matching
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database

attk Using kernel matching
attr Using radius matching
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Further Contents
Bootstrap Calculation of Standard Errors
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Further Contents

Testing for the presence of selection bias due to unobserved factors:
The Sargan-Wu-Hausman Test.
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Further Contents

Using propensity scores as weights in a regression approach. Hirano,
Imbens, and Ridder (2003)
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Further Contents

Estimate: Yi = + Ti + Xi + i
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Further Contents

Estimate: Yi = + Ti + Xi + i
b (X ) / (1
with weights of 1 for participants and weights of P
the control observations.
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b (X )) for
P
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Jalan and Ravallion (2003)
They impact evaluate the eects of Trabajar, a workfare program in

Argentina in 1997
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Argentina in 1997
The context: Macroeconomic crises hurts employment.
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Argentina in 1997
Dependent variable: Income. Objective: Measure the net income
gains.
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Argentina in 1997
Dependent variable: Income. Objective: Measure the net income
gains.
The Trabajar program is targeted to the lowest income of the
population. Sets a maximum wage rate of $200
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Advantages of the PSM approach in this setting:
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1
Allows diering eects. An analysis of the distribution of eects is

possible.
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1

possible.
A plausible alternative when no experimental design, and no baseline
survey is available.
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1

possible.
A plausible alternative when no experimental design, and no baseline
survey is available.
Cost e cient when there is availability of data for a population that
can serve as a control group. In this case, a national-wide survey, the
Encuesta de Desarrollo Social (INDEC), is available.
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Possible problems:
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Possible problems:
1
The well-known problem: non-observables might still drive

self-selection bias.
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Possible problems:
1

Page 12, the survey found a signicant amount of non-respondents (no
addresses, absence of respondents, not wanted to respond). This might
bias the results.
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Possible problems:
1

Page 12, the survey found a signicant amount of non-respondents (no
addresses, absence of respondents, not wanted to respond). This might
bias the results.
If not cleaning well the population-representative data that is used for
control, possible program of including participants: contamination.
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What kind of eect do we expect?
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What kind of eect do we expect?
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Fitting the PS model
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Logits coe cients are reported, it is not possible to interpret them

(an alternative would have been to exhibit marginal eects).
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Logits coe cients are reported, it is not possible to interpret them

(an alternative would have been to exhibit marginal eects).
Be careful! A lot of variables are included, some of them which might
display strong colinearity. A table with correlations is recommended.
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What about common support?
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What about common support?
Be careful, the graphic seems to suggest that there might be a

problem. However, the paper says that because the population survey
is so big, they did not had problems.
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Clase 2 Regression Matching and PSM B

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Clase 2 Regression Matching and PSM B

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Clase 2: Seleccin por Observables, Matching, y

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Comparing treated and not-treated will NOT result in the eect we

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

We can think about causality using the potential outcomes

Comparing treated and not-treated will NOT result in the eect we

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

When no experiments (or natural experiments) are available, we look

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

When no experiments (or natural experiments) are available, we look

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

When no experiments (or natural experiments) are available, we look

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

When no experiments (or natural experiments) are available, we look

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

Conditional Independence Assumption (CIA) - Selection on

When no experiments (or natural experiments) are available, we look

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

CIA - Selection on Observables

Lets recall the framework: Treatment Di = f0, 1g . and for a given

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

CIA - Selection on Observables

Previously, we obtained an expression for the the outcome of

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)

Seleccin por Observables y el Supuesto de Independencia

CIA - Selection on Observables

Previously, we obtained an expression for the the outcome of

Ricardo A Pasquini (IAE B.S. and MEU-UTDT)