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

• 成果类型: Article
• 署名作者: Athey, Susan; Imbens, Guido W.; Wager, Stefan
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/rssb.12268
• 发表日期: 2018
• 页码: 597-623
• 关键词: propensity score estimation; confidence-intervals; Semiparametric Efficiency; variable selection; Causal Inference; regression; models; regularization; estimators; regions

摘要

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 root 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.