Yichen Gao, Wei Long, Zhengwei Wang. "Estimating average treatment effect by model averaging" Economics Letters, vol.135: pp42–45.2015.
In this paper, we propose to use a model average method to improve the estimation performance of Hsiaoet al. (2012) panel data approach for program evaluation. Instead of using the two-step model selection strategy which chooses one best model according to a criterion such as AIC or AICC, we average over a set of candidate models. Simulation results show that the model average estimator exhibits smaller estimation errors in post-treatment prediction than AIC or AICC method.
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