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What is the effect of correlations among observed covariates or between observed and unobserved covariates on the quality of matching, when matching iss done using

  1. Propensity score
  2. (Euclidian/Mahalanobis) distance metric

Should one try to remove correlations by using Mahalanobis distance instead of Euclidean distance metric?

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  • $\begingroup$ Effect of correlations on what? $\endgroup$ – wrstks Apr 20 at 22:40
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    $\begingroup$ The Mahalanobis distance does not remove correlations between observed and unobserved covariates. Either metric might work; try both and use the one that yields better balance. There is no reason to rely on theory when methods can be safely evaluated on their balancing performance. $\endgroup$ – Noah Apr 21 at 3:12

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