A Martingale Representation for Matching Estimators
本文为匹配估计量建立了鞅表示，从而可用鞅极限定理推导其大样本分布，并应用于无放回匹配和热卡插补的标准误修正，蒙特卡洛模拟验证了方法的有效性。
Matching estimators are widely used in statistical data analysis. However, the large sample distribution of matching estimators has been derived only for particular cases. This article establishes a martingale representation for matching estimators. This representation allows the use of martingale limit theorems to derive the large sample distribution of matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement, a result previously unavailable in the literature. In addition, we apply the techniques proposed in this article to derive a correction to the standard error of a sample mean when missing data are imputed using the “hot deck,” a matching imputation method widely used in the Current Population Survey (CPS) and other large surveys in the social sciences. We demonstrate the empirical relevance of our methods using two Monte Carlo designs based on actual datasets. In these Monte Carlo exercises, the large sample distribution of matching estimators derived in this article provides an accurate approximation to the small sample behavior of these estimators. In addition, our simulations show that standard errors that do not take into account hot-deck imputation of missing data may be severely downward biased, while standard errors that incorporate the correction for hot-deck imputation perform extremely well. This article has online supplementary materials.