The Minimax Estimator of the Average Treatment Effect, among Linear Combinations of Estimators of Bounded Conditional Average Treatment Effects

Abstract

I consider estimation of the average treatment effect (ATE), in a population composed of $G$ groups, when one has unbiased and uncorrelated estimators of each group's conditional average treatment effect (CATE). These conditions are met in stratified randomized experiments. I assume that the outcome is homoscedastic, and that each CATE is bounded in absolute value by $B$ standard deviations of the outcome, for some known $B$. I derive, across all linear combinations of the CATEs' estimators, the estimator of the ATE with the lowest worst-case mean-squared error. This minimax-linear estimator assigns a weight equal to group $g$'s share in the population to the most precisely estimated CATEs, and a weight proportional to one over the estimator's variance to the least precisely estimated CATEs. I also derive the minimax-linear estimator when the CATEs' estimators are positively correlated, a condition that may be met by differences-in-differences estimators in staggered adoption designs.