Model-assisted inference for treatment effects using regularized calibrated estimation with high-dimensional data

TL;DR

This paper introduces new regularized calibrated estimation methods with Lasso penalties for estimating treatment effects in high-dimensional settings, providing doubly robust point estimates and valid confidence intervals even under model misspecification.

Contribution

The paper develops novel regularized calibrated estimators that achieve doubly robust inference for treatment effects in high-dimensional data, addressing limitations of traditional model selection procedures.

Findings

Methods produce valid confidence intervals under model misspecification.

Simulation studies show improved performance over regularized maximum likelihood methods.

Empirical application demonstrates practical advantages of the proposed approach.

Abstract

Consider the problem of estimating average treatment effects when a large number of covariates are used to adjust for possible confounding through outcome regression and propensity score models. The conventional approach of model building and fitting iteratively can be difficult to implement, depending on ad hoc choices of what variables are included. In addition, uncertainty from the iterative process of model selection is complicated and often ignored in subsequent inference about treatment effects. We develop new methods and theory to obtain not only doubly robust point estimators for average treatment effects, which remain consistent if either the propensity score model or the outcome regression model is correctly specified, but also model-assisted confidence intervals, which are valid when the propensity score model is correctly specified but the outcome regression model may be misspecified. With a linear outcome model, the confidence intervals are doubly robust, that is, being also valid when the outcome model is correctly specified but the propensity score model may be misspecified. Our methods involve regularized calibrated estimators with Lasso penalties, but carefully chosen loss functions, for fitting propensity score and outcome regression models. We provide high-dimensional analysis to establish the desired properties of our methods under comparable conditions to previous results, which give valid confidence intervals when both the propensity score and outcome regression are correctly specified. We present a simulation study and an empirical application which confirm the advantages of the proposed methods compared with related methods based on regularized maximum likelihood estimation.