We propose a double robust Bayesian inference procedure on the average treatment effect (ATE) under unconfoundedness. For our new Bayesian approach, we first adjust the prior distributions of the conditional mean functions, and then correct the posterior distribution of the resulting ATE. Both adjustments make use of pilot estimators motivated by the semiparametric influence function for ATE estimation. We prove asymptotic equivalence of our Bayesian procedure and efficient frequentist ATE estimators by establishing a new semiparametric Bernstein–von Mises theorem under double robustness; that is, the lack of smoothness of conditional mean functions can be compensated by high regularity of the propensity score and vice versa. Consequently, the resulting Bayesian credible sets form confidence intervals with asymptotically exact coverage probability. In simulations, our method provides precise point estimates of the ATE through the posterior mean and delivers credible intervals that closely align with the nominal coverage probability. Furthermore, our approach achieves a shorter interval length in comparison to existing methods. We illustrate our method in an application to the National Supported Work Demonstration following LaLonde (1986) and Dehejia and Wahba (1999).
MLA
Breunig, Christoph, et al. “Double Robust Bayesian Inference on Average Treatment Effects.” Econometrica, vol. 93, .no 2, Econometric Society, 2025, pp. 539-568, https://doi.org/10.3982/ECTA21442
Chicago
Breunig, Christoph, Ruixuan Liu, and Zhengfei Yu. “Double Robust Bayesian Inference on Average Treatment Effects.” Econometrica, 93, .no 2, (Econometric Society: 2025), 539-568. https://doi.org/10.3982/ECTA21442
APA
Breunig, C., Liu, R., & Yu, Z. (2025). Double Robust Bayesian Inference on Average Treatment Effects. Econometrica, 93(2), 539-568. https://doi.org/10.3982/ECTA21442
Supplement to "Double Robust Bayesian Inference on Average Treatment Effects"
Christoph Breunig, Ruixuan Liu, and Zhengfei Yu
The replication package for this paper is available at https://doi.org/10.5281/zenodo.14015435. The Journal checked the data and codes included in the package for their ability to reproduce the results in the paper and approved online appendices.
Member Comments on "Double Robust Bayesian Inference on Average Treatment Effects"
Comment On: "Double Robust Bayesian Inference on Average Treatment Effects"
Paul Goldsmith Pinkham
The value of Bayesian methods when propensity score trimming
When teaching propensity score methods, I often cringe a bit at how much trimming is necessary for stable estimates of the average treatment effect. Indeed, this trimming leads us to target a different estimand altogether (Crump et al. (2009)). It is quite remarkable that the Bayesian methods in this paper are remarkably stable even with only light trimming -- when only the 1% most extreme estimates are trimmed, the estimates are quite stable. I think it would be very interesting for proponents of the Bayesian IPW approaches to explore further why this approach works so well in the presence of extreme p-score values.View More
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