NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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A Causal Bootstrap

Guido Imbens, Konrad Menzel

NBER Working Paper No. 24833
Issued in July 2018
NBER Program(s):Labor Studies Program

The bootstrap, introduced by Efron (1982), has become a very popular method for estimating variances and constructing confidence intervals. A key insight is that one can approximate the properties of estimators by using the empirical distribution function of the sample as an approximation for the true distribution function. This approach views the uncertainty in the estimator as coming exclusively from sampling uncertainty. We argue that for causal estimands the uncertainty arises entirely, or partially, from a different source, corresponding to the stochastic nature of the treatment received. We develop a bootstrap procedure that accounts for this uncertainty, and compare its properties to that of the classical bootstrap.

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Document Object Identifier (DOI): 10.3386/w24833

 
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