Propensity score methods are increasingly used to estimate the effect of a treatment or exposure on an outcome in non-randomised studies. We focus on one such method, stratification on the propensity score, comparing it with the method of inverse-probability weighting by the propensity score. The propensity score--the conditional probability of receiving the treatment given observed covariates--is usually an unknown probability estimated from the data. Estimators for the variance of treatment effect estimates typically used in practice, however, do not take into account that the propensity score itself has been estimated from the data. By deriving the asymptotic marginal variance of the stratified estimate of treatment effect, correctly taking into account the estimation of the propensity score, we show that routinely used variance estimators are likely to produce confidence intervals that are too conservative when the propensity score model includes variables that predict (cause) the outcome, but only weakly predict the treatment. In contrast, a comparison with the analogous marginal variance for the inverse probability weighted (IPW) estimator shows that routinely used variance estimators for the IPW estimator are likely to produce confidence intervals that are almost always too conservative. Because exact calculation of the asymptotic marginal variance is likely to be complex, particularly for the stratified estimator, we suggest that bootstrap estimates of variance should be used in practice.
