Journal
ANNALS OF APPLIED STATISTICS
Volume 7, Issue 1, Pages 295-318Publisher
INST MATHEMATICAL STATISTICS-IMS
DOI: 10.1214/12-AOAS583
Keywords
Analysis of covariance; covariate adjustment; randomization inference; sandwich estimator; robust standard errors; social experiments; program evaluation
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Freedman [Adv. in Appl. Math. 40 (2008) 180-193; Ann. Appl. Stat. 2 (2008) 176-196] critiqued ordinary least squares regression adjustment of estimated treatment effects in randomized experiments, using Neyman's model for randomization inference. Contrary to conventional wisdom, he argued that adjustment can lead to worsened asymptotic precision, invalid measures of precision, and small-sample bias. This paper shows that in sufficiently large samples, those problems are either minor or easily fixed. OLS adjustment cannot hurt asymptotic precision when a full set of treatment-covariate interactions is included. Asymptotically valid confidence intervals can be constructed with the Huber-White sandwich standard error estimator. Checks on the asymptotic approximations are illustrated with data from Angrist, Lang, and Oreopoulos's [Am. Econ. J.: Appl. Econ. 1: 1 (2009) 136-163] evaluation of strategies to improve college students' achievement. The strongest reasons to support Freedman's preference for unadjusted estimates are transparency and the dangers of specification search.
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