Treatment effects with heterogeneity and heteroskedasticity are widely studied and applied in many fields, such as statistics and econometrics. The conditional average treatment effect provides an excellent measure of the heterogeneous treatment effect. In this paper, we propose a model averaging estimation for the conditional average treatment effect with partially linear models based on the jackknife-type criterion under heteroscedastic error. Within this context, we provide theoretical justification for our model averaging approach, and we establish asymptotic optimality and weight convergence properties for our model under certain conditions. The performance of our proposed estimator is compared with that of classical estimators by using a Monte Carlo study and empirical analysis.
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