Model Averaging for Estimating Treatment Effects with Binary Responses

In this article, we present a novel approach for estimating the conditional average treatment effect in models with binary responses. Our proposed method involves model averaging, and we establish a weight choice criterion based on jackknife model averaging. We analyze the theoretical properties of this approach, including its asymptotic optimality in achieving the lowest possible squared error and the convergence rate of the weights assigned to correctly specified models. Additionally, we introduce a new matching method that combines partition and nearest neighbor pairing, leveraging the strengths of both techniques. To evaluate the performance of our method, we conduct comparisons with existing approaches via a Monte Carlo study and a real data analysis. Overall, our results demonstrate the effectiveness and practicality of our proposed approach for estimating the conditional average treatment effect in binary response models. © 2024 John Wiley & Sons Ltd.