Bracketing Relationships of Weighted Average Treatment Effects

Abstract: Under the canonical setting of observational studies for causal inference, we show that the average treatment effect under the overlap weight, the weight that is proportional to the conditional variance of the treatment given the covariates, is bounded between the average treatment effects on the treated and control, under a monotonic relationship between the propensity score and the conditional average treatment effect. We further extend the result to weighted local average treatment effects, under the canonical setting with a binary instrumental variable and a binary treatment. We also extend the results to other weights. Based on the theory, we recommend the ``CP-plot'' of the estimated conditional average treatment effect against the estimated propensity score.