
It is important to make robust inference of the conditional average treatment effect from observational data, but this becomes challenging when the confounder is multivariate or high-dimensional. In this article, we propose a double dimension reduction method, which reduces the curse of dimensionality as much as possible while keeping the nonparametric merit. We identify the central mean subspace of the conditional average treatment effect using dimension reduction. A nonparametric regression with prior dimension reduction is also used to impute counterfactual outcomes. This step helps improve the stability of the imputation and leads to a better estimator than existing methods. We then propose an effective bootstrapping procedure without bootstrapping the estimated central mean subspace to make valid inference.
FOS: Computer and information sciences, Nonparametric robustness, kernel smoothing, matching, augmented inverse probability weighting, weighted bootstrap, U-statistic, Methodology (stat.ME), Asymptotic properties of nonparametric inference, Nonparametric statistical resampling methods, Nonparametric regression and quantile regression, Nonparametric estimation, Statistics - Methodology
FOS: Computer and information sciences, Nonparametric robustness, kernel smoothing, matching, augmented inverse probability weighting, weighted bootstrap, U-statistic, Methodology (stat.ME), Asymptotic properties of nonparametric inference, Nonparametric statistical resampling methods, Nonparametric regression and quantile regression, Nonparametric estimation, Statistics - Methodology
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