Title Metoda uparivanja po vjerojatnosti sklonosti
Author Sanja Kovačević
Mentor Sonja Radas (mentor)
Committee member Sonja Radas (predsjednik povjerenstva)
Committee member Hrvoje Šikić (član povjerenstva)
Committee member Miljenko Huzak (član povjerenstva)
Committee member Igor Pažanin (član povjerenstva)
Granter University of Zagreb Faculty of Science (Department of Mathematics) Zagreb
Defense date and country 2014-07-16, Croatia
Scientific / art field, discipline and subdiscipline NATURAL SCIENCES Mathematics
Abstract U ovome radu koncentrirali smo se na procjenu prosječnog efekta tretmana koristeći različite pretpostavke i ovisno o njima regresijske metode, metode bazirane na vjerojatnosti sklonosti ili metode instrumentalnih varijabli. Varijable \(y_1\) i \(y_0\) označavale su ishod sa, odnosno bez tretmana, dok je binarna varijabla \(w\) označavala tretman, a \(\textbf{x}\) vektor opaženih kovarijabli. Ono što smo htjeli procijeniti bila je razlika između ishoda sa i bez tretmana, \(y_1-y_0\). Budući da se pojedinac ne može istovremeno nalaziti u oba stanja, tu razliku nije moguće direktno izračunati. Stoga smo promatrali sljedeća dva očekivanja: prosječan efekt tretmana (average treatment effect - ATE) koji je definiran kao: \(AT E \equiv E( y_1-y_0 )\) i prosječan efekt tretmana tretiranih jedinki (average treatment effect on the treated \(AT E_1\)) definiran sa: \(AT E_1 \equiv E( y_1-y_0 | w = 1)\). Također, promatrali smo i prosječan efekt tretmana uvjetno na \(\textbf{x}\) i prosječan efekt tretmana tretiranih uvjetno na \(\textbf{x}\) : \(AT E_1 (\textbf{x}) = E( y_1-y_0 | \textbf{x} , w = 1)\) i \(E( y_1-y_0 | \textbf{x}) = AT E(\textbf{x})\). Ključna pretpostavka bila je nezavisnost o tretmanu (eng. ignorability of a treatment) dana uvjetima: ATE.1: Uvjetno na \(\textbf{x}\), \(w\) i (\( y_0, y_1\) ) su nezavisni. ATE.1’: (a) \(E(y_0 | \textbf{x}, w) = E(y_0 | \textbf{x}\)); (b) \(E(y_1 | \textbf{x}, w) = E(y_1 | \textbf{x})\). Propensity score ili vjerojatnost sklonosti \(p(\textbf{x})\) označava vjerojatnost da jedinka primi tretman ako nam je poznat vektor kovarijabli \(\textbf{x}\). Važna pretpostavka pri korištenju metoda baziranih na vjerojatnosti sklonosti bila je jaka nezavisnost o tretmanu (eng. strong ignorability of a treatment) (uz danu kovarijablu \(\textbf{x}\)) koja se sastoji od pretpostavke ATE.1 i uvjeta \(0 < p(\textbf{x}) < 1, \forall \textbf{x}\). Koristeći te metode objasnili smo ideju uparivanja na temelju vjerojatnosti sklonosti, koju su prvi put predložili Rosenbaum i Rubin 1983. godine. Metoda instrumentalnih varijabli (IV) koristi se za procjenu \(AT E\) i \(AT E_1\) kada nismo sigurni vrijedi li nezavisnost o tretmanu, ali i za procjenu lokalnog prosječnog efekta tretmana (LATE). Promatrali smo najjednostavniji slučaj - kada je instrumentalna varijabla z binarna - te smo LATE definirali na subpopulaciji sastavljenoj od jedinki kod kojih varijabla z određuje hoće li te jedinke sudjelovati u tretmanu. U drugom dijelu rada pokazali smo korištenje uparivanja na temelju vjerojatnosti sklonosti u praksi. Procjenjivali smo utjecaj IWT subvencija na razvoj R&D-a u kompanijama u Flandriji i kako se taj utjecaj mijenja ovisno o određenim parametrima.
Abstract (english) In this paper focus was on estimating average treatment effects. We used different assumptions and different methods- regression methods, methods based on the propensity score and instrumental variables methods. Variable \(y_1\) denoted the outcome with treatment and \(y_0\) without the treatment, while \(\textbf{x}\) denoted a vector of observed covariates and w denoted receiving the treatment. To estimate the difference \(y_1-y_0\), we observed average treatment effect (ATE) defined as \(AT E \equiv E( y_1-y_0 )\) and average treatment effect on the treated (\(AT E_1\) ) defined as \(AT E_1 \equiv E( y_1-y_0 | w = 1)\). Key assumption was assumption called ignorability of treatment (given observed covariates \(\textbf{x}\)): ATE.1: Conditional on \(\textbf{x}\), \(w\) and ( \( y_0, y_1\)) are independent. ATE.1’: (a) \(E(y_0 | \textbf{x}, w) = E(y_0 | \textbf{x}\)); (b) \(E(y_1 | \textbf{x}, w) = E(y_1 | \textbf{x})\). Propensity score \(p(\textbf{x})\) is the probability of receiving the treatment given the covariates. For using methods based on the propensity score we needed strong ignorability of a treatment assumption. We described matching algorithm based on the propensity score. For estimating the local average treatment effect (LATE), we used the instrumental variables method in the simplest scenario- when an instrumental variable \(z\) is binary. Finally, we showed how to use the propensity score matching in practice. We estimated the impact of IWT subsidies on firms’ R&D intensity and employment in the Flemish region.
Keywords
procjena prosječnog efekta tretmana
regresijske metode
metode bazirane na vjerojatnosti sklonosti
metode instrumentalnih varijabli
Keywords (english)
estimating average treatment effects
regression mathods
methods based on the propensity score
instrumental variables method
Language croatian
URN:NBN urn:nbn:hr:217:037779
Study programme Title: Finance and Business Mathematics Study programme type: university Study level: graduate Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resource Text
File origin Born digital
Access conditions Open access
Terms of use
Created on 2019-02-19 11:09:18