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st: Weighty Matter


From   "Alistair Windsor (U of M)" <alistair.windsor@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Weighty Matter
Date   Sun, 15 May 2011 10:11:21 -0500

Dear All,

I am working with some propensity score reweighting schemes. My
question concerns which type of weights to use. Originally I was using
pweights (and some svy commands) with the justification that a
propensity score is essentially a sampling probability . My current
choice has been to use aweights based on Nichols 2008 "Erratum and
discussion of propensity score reweighting". However I noticed that in
the earlier 2007 Nichols "Causal inference with observational data"
the data was weighted using pweight rather than aweights. I have also
been working on a program similar to psmatch2 but with reweighting.
Looking into the code of pstest I find that it uses iweights.

The actual reweighting scheme results do not depend on the choice of
pweight, aweight, or iweights and I am using bootstrapping to
determine the standard error of the treatment effect estimator.
However determining the quality of the match uses the standard errors
and this depends on the type of weight chosen.

Anyone with insight into which weight to use?

Yours,

Alistair

--
--
Alistair Windsor
380 Dunn Hall           Ph: 901-678-4431
University of Memphis   Fax: 901-678-2480
Memphis, TN 38152-3240
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