政策评价的现状和改进方法:基于PSM-DID的思考
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1.华中科技大学管理学院;2.西南财经大学统计学院;3.上海财经大学经济学院

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F064.1

基金项目:

国家自然科学基金重点项目(71833004);国家自然科学基金面上项目(72173083)


Current Situation and Improvement in Methods of Program Evaluation: Some Thoughts Based on PSM-DID
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1.Huazhong University of Science and Technology;2.西南财经大学;3.Shanghai University of Finance and Economics

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    摘要:

    倾向得分匹配-双重差分模型(PSM-DID)是政策评估及因果推断中最为流行的方法之一。但是在实际应用中,该方法面临着控制变量在处理组样本和控制组样本之间非平衡性的挑战。传统基于均值差异t检验的平衡性检验容易产生片面和误导性的结论,使得后续因果推断产生偏误。为克服上述问题,本文对传统的平衡性检验提出以下改进:一是推荐更全面的多维度的平衡性测度指标,便于(在运用倾向得分匹配后)更严谨地比较处理组和控制组的平衡性;二是提出了适用于非平衡样本的新估计方法:倾向得分匹配-逆概率加权-双重差分(PSM-IPW-DID),该方法结合了倾向得分匹配(PSM)克服样本自选择内生性及对非平衡样本稳健的优势和逆概率加权(Inverse Probability Weighting, IPW)利用全样本信息的长处,在不进一步删除样本的情况下得到一种更稳健的双重差分估计方法。数据模拟和应用实例显示,本文提出的新方法能更全面、客观地评价宏观、微观政策的作用,得到更为可信的因果推断。

    Abstract:

    The Propensity Score Matching-Differenced-Differences Model (PSM-DID) is one of the most popular methods for policy evaluation and causal inference. However, it faces the challenge of unbalanced control variables between the treatment group samples and the control group samples. The traditional balance test based on the mean difference t test is prone to one-sided and imprecise conclusions, which makes subsequent causal inferences biased and incredible. In order to overcome the above problems, this paper proposes the following improvements on the traditional balance test: First, it recommends a few more comprehensive and multi-dimensional balance measures, which facilitates (after applying propensity score matching) the balance comparison between the treated group and the control group in a more rigorous method. Second, a new estimation method for unbalanced samples is proposed: Propensity Score Matching-Inverse Probability Weighted-Differences (PSM-IPW-DID), which combines the merits of propensity score matching (PSM) to overcome sample self-selection endogeneity and robustness to unbalanced samples and the advantage of Inverse Probability Weighting (IPW) to take advantage of the full-sample information, to obtain a more robust difference-in-differences estimation method without further trimming samples. Furthermore, numerical simulation and real data applications show that the proposed new method can evaluate the effects of various macro and micro policies comprehensively and objectively, and yield credible causal inferences.

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历史
  • 收稿日期:2022-08-22
  • 最后修改日期:2023-05-16
  • 录用日期:2023-08-10
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