Outcome regression-based estimation of conditional average treatment effect

Abstract: The research is about a systematic investigation on the following issues. First, we construct different outcome regression-based estimators for conditional average treatment effect under, respectively, true (oracle), parametric, nonparametric and semiparametric dimension reduction structure. Second, according to the corresponding asymptotic variance functions, we answer the following questions when supposing the models are correctly specified: what is the asymptotic efficiency ranking about the four estimators in general? how is the efficiency related to the affiliation of the given covariates in the set of arguments of the regression functions? what do the roles of bandwidth and kernel function selections play for the estimation efficiency; and in which scenarios should the estimator under semiparametric dimension reduction regression structure be used in practice? As a by-product, the results show that any outcome regression-based estimation should be asymptotically more efficient than any inverse probability weighting-based estimation. All these results give a relatively complete picture of the outcome regression-based estimation such that the theoretical conclusions could provide guidance for practical use when more than one estimations can be applied to the same problem. Several simulation studies are conducted to examine the performances of these estimators in finite sample cases and a real dataset is analyzed for illustration.