In the last decade, machine learning techniques have gained popularity for estimating causal effects. One machine learning approach that can be used for estimating an average treatment effect is Double/debiased machine learning (DML) (Chernozhukov et al., 2018). This approach uses a double-robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment conditional on covariates. Estimators relying on double-robust score functions are highly sensitive to errors in propensity score predictions. Machine learners increase the severity of this problem as they tend to over- or underestimate these probabilities. Several calibration approaches have been proposed to improve probabilistic forecasts of machine learners. This paper investigates the use of probability calibration approaches within the DML framework. Simulation results demonstrate that calibrating propensity scores may significantly reduces the root mean squared error of DML estimates of the average treatment effect in finite samples. We showcase it in an empirical example and provide conditions under which calibration does not alter the asymptotic properties of the DML estimator.
Automatic debiased machine learning and sensitivity analysis for sample selection models
Massachusetts Institute of Technology（麻省理工学院）；Düsseldorf Institute for Competition Economics, Heinrich Heine University Düsseldorf（杜塞尔多夫竞争经济学研究所，杜塞道夫大学）；Chair of Statistics and Econometrics, Heinrich Heine University Düsseldorf（统计学与计量经济学讲席，杜塞道夫大学）
Calibration Strategies for Robust Causal Estimation: Theoretical and Empirical Insights on Propensity Score-Based Estimators
Economic AI, Nürnberger Str. 262 A, 93059 Regensburg, Bayern, Germany（经济人工智能，德国雷根施塔特）；Chair of Statistics with Application in Business Analytics, University of Hamburg Business School, Moorweidenstr. 18, 20148 Hamburg, Hamburg, Germany（商务分析统计学系，汉堡大学商业学院）；Chair of Mathematics and Statistics in Economics, University of Hamburg Business School, Von-Melle-Park 5, 20146 Hamburg, Hamburg, Germany（经济学数学与统计学系，汉堡大学商业学院）；Düsseldorf Institute for Competition Economics, Heinrich Heine University Düsseldorf, Universitätstr. 1, 20225 Düsseldorf, Nordrhein-Westphalen, Germany（多特蒙德竞争经济学研究所，杜伊斯堡-艾森大学）
We address the issue of binary classification from positive and unlabeled data (PU classification) with a selection bias in the positive data. During the observation process, (i) a sample is exposed to a user, (ii) the user then returns the label for the exposed sample, and (iii) we however can only observe the positive samples. Therefore, the positive labels that we observe are a combination of both the exposure and the labeling, which creates a selection bias problem for the observed positive samples. This scenario represents a conceptual framework for many practical applications, such as re…
Causal Inference with Double/Debiased Machine Learning for Evaluating the Health Effects of Multiple Mismeasured Pollutants
Yale School of Public Health（耶鲁大学公共卫生学院）；Harvard T.H. Chan School of Public Health（哈佛陈曾熙公共卫生学院）；Harvard Medical School（哈佛医学院）；Brigham and Women’s Hospital（布莱根妇女医院）；Tufts University（塔夫茨大学）；University of Washington（华盛顿大学）；Yale School of Medicine（耶鲁大学医学院）
City University of Hong Kong（香港城市大学）；Renmin University of China（中国人民大学）
Causal learning is the key to obtaining stable predictions and answering \textit{what if} problems in decision-makings. In causal learning, it is central to seek methods to estimate the average treatment effect (ATE) from observational data. The Double/Debiased Machine Learning (DML) is one of the prevalent methods to estimate ATE. However, the DML estimators can suffer from an \textit{error-compounding issue} and even give extreme estimates when the propensity scores are close to 0 or 1. Previous studies have overcome this issue through some empirical tricks such as propensity score trimming,…
Many practical decision-making problems in economics and healthcare seek to estimate the average treatment effect (ATE) from observational data. The Double/Debiased Machine Learning (DML) is one of the prevalent methods to estimate ATE in the observational study. However, the DML estimators can suffer an error-compounding issue and even give an extreme estimate when the propensity scores are misspecified or very close to 0 or 1. Previous studies have overcome this issue through some empirical tricks such as propensity score trimming, yet none of the existing literature solves this problem from…
MEC-Cox: Machine-Learning-Assisted Generalized Entropy Calibration for ATT Marginal Hazard-Ratio Estimation
Department of Statistics, Texas A&M University（统计学系，德克萨斯A&M大学）；Department of Mathematics, Korea Military Academy（数学系，韩国军事学院）；Department of Statistics, Iowa State University（统计学系，爱荷华州立大学）
The policy relevant treatment effect (PRTE) measures the average effect of switching from a status-quo policy to a counterfactual policy. Estimation of the PRTE involves estimation of multiple preliminary parameters, including propensity scores, conditional expectation functions of the outcome and covariates given the propensity score, and marginal treatment effects. These preliminary estimators can affect the asymptotic distribution of the PRTE estimator in complicated and intractable manners. In this light, we propose an orthogonal score for double debiased estimation of the PRTE, whereby th…
Which Regularized Propensity-Score and Doubly Robust Methods Are Best Calibrated When Exposures or Outcomes Are Rare? A Plasmode Study of Proxy-Based Confounding Adjustment
School of Population and Public Health, University of British Columbia（英属哥伦比亚大学公共卫生与人口健康学院）
Conformal Convolution and Monte Carlo Meta-learners for Predictive Inference of Individual Treatment Effects
IDLab Department of Electronics and Information Systems Ghent University, Belgium（IDLab电子与信息系统系根特大学，比利时）；IDLab Department of Electronics and Information Systems Ghent University - imec, Belgium（IDLab电子与信息系统系根特大学-imec，比利时）；Biometrics Research Group Department of Morphology, Imaging, Orthopedics, Rehabilitation and Nutrition Ghent University, Belgium（生物医学研究组形态学、成像、骨科、康复与营养系根特大学，比利时）
Conformal prediction has received tremendous attention in recent years and has offered new solutions to problems in missing data and causal inference; yet these advances have not leveraged modern semiparametric efficiency theory for more robust and efficient uncertainty quantification. In this paper, we consider the problem of obtaining distribution-free prediction regions accounting for a shift in the distribution of the covariates between the training and test data. Under an explainable covariate shift assumption analogous to the standard missing at random assumption, we propose three varian…
Penalized Empirical Likelihood for Doubly Robust Causal Inference under Contamination in High Dimensions
Department of Mathematics and Physics, Gangneung-Wonju National University（数学与物理系，江陵-Wonju国立大学）；Department of Applied Statistics, Yonsei University（应用统计学系，延世大学）；Department of Statistics, Dongguk University（统计学系，东国大学）；Department of Marketing Bigdata, Mokwon University（市场营销大数据系，摩斯大学）；Department of Data Science, Gangneung-Wonju National University（数据科学系，江陵-Wonju国立大学）
Assessing equity in treatment of a subpopulation often involves assigning numerical "scores" to all individuals in the full population such that similar individuals get similar scores; matching via propensity scores or appropriate covariates is common, for example. Given such scores, individuals with similar scores may or may not attain similar outcomes independent of the individuals' memberships in the subpopulation. The traditional graphical methods for visualizing inequities are known as "reliability diagrams" or "calibrations plots," which bin the scores into a partition of all possible va…
