Why Is the Double-Robust Estimator for Causal Inference Not Doubly Robust for Variance Estimation?

TL;DR

This paper investigates why the double-robust estimator's variance estimation fails under model misspecification and proposes new methods to achieve valid inference despite such misspecification.

Contribution

It provides a formal theoretical explanation for the limitations of variance estimation in doubly robust estimators and introduces alternative strategies like sample-splitting for valid inference.

Findings

The influence-function-based variance estimator is biased under misspecification.

Sample-splitting and crossfitting methods improve variance estimation robustness.

Theoretical insights clarify when and why variance estimation fails or succeeds.

Abstract

Doubly robust estimators (DRE) are widely used in causal inference because they yield consistent estimators of average causal effect when at least one of the nuisance models, the propensity for treatment (exposure) or the outcome regression, is correct. However, double robustness does not extend to variance estimation; the influence-function (IF)-based variance estimator is consistent only when both nuisance parameters are correct. This raises concerns about applying DRE in practice, where model misspecification is inevitable. The recent paper by Shook-Sa et al. (2025, Biometrics, 81(2), ujaf054) demonstrated through Monte Carlo simulations that the IF-based variance estimator is biased. However, the paper's findings are empirical. The key question remains: why does the variance estimator fail in double robustness, and under what conditions do alternatives succeed, such as the ones demonstrated in Shook-Sa et al. 2025. In this paper, we develop a formal theory to clarify the efficiency properties of DRE that underlie these empirical findings. We also introduce alternative strategies, including a mixture-based framework underlying the sample-splitting and crossfitting approaches, to achieve valid inference with misspecified nuisance parameters. Our considerations are illustrated with simulation and real study data.