Approximate residual balancing debiased inference of average treatment effects in high dimensions

There are many settings where researchers are interested in estimating average treatment effects and are willing to rely on the unconfoundedness assumption, which requires that the treatment assignment be as good as random conditional on pretreatment variables. The unconfoundedness assumption is oft...

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Veröffentlicht in:Journal of the Royal Statistical Society. Series B, Statistical methodology Jg. 80; H. 4; S. 597 - 623
Hauptverfasser: Athey, Susan, Imbens, Guido W., Wager, Stefan
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Oxford Wiley 01.09.2018
Oxford University Press
Schlagworte:
Adjustment
Assumptions
Averages
Causal inference
equations
Inference
Linear analysis
linear models
Linearity
Potential outcomes
Pretreatment
Propensity
Propensity score
Random variables
Regression analysis
Regression models
Sparse estimation
Statistical methods
Statistics
Variables
ISSN:1369-7412, 1467-9868
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Zusammenfassung:There are many settings where researchers are interested in estimating average treatment effects and are willing to rely on the unconfoundedness assumption, which requires that the treatment assignment be as good as random conditional on pretreatment variables. The unconfoundedness assumption is often more plausible if a large number of pretreatment variables are included in the analysis, but this can worsen the performance of standard approaches to treatment effect estimation. We develop a method for debiasing penalized regression adjustments to allow sparse regression methods like the lasso to be used for √n-consistent inference of average treatment effects in high dimensional linear models. Given linearity, we do not need to assume that the treatment propensities are estimable, or that the average treatment effect is a sparse contrast of the outcome model parameters. Rather, in addition to standard assumptions used to make lasso regression on the outcome model consistent under 1-norm error, we require only overlap, i.e. that the propensity score be uniformly bounded away from 0 and 1. Procedurally, our method combines balancing weights with a regularized regression adjustment.
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ISSN:1369-7412
1467-9868
DOI:10.1111/rssb.12268