TY - JOUR
T1 - Regularization and Confounding in Linear Regression for Treatment Effect Estimation
AU - Hahn, P. Richard
AU - Carvalho, Carlos M.
AU - Puelz, David
AU - He, Jingyu
PY - 2018
Y1 - 2018
N2 - This paper investigates the use of regularization priors in the context of treatment effect estimation using observational data where the number of control variables is large relative to the number of observations. First, the phenomenon of "regularization-induced confounding" is introduced, which refers to the tendency of regularization priors to adversely bias treatment effect estimates by over-shrinking control variable regression coefficients. Then, a simultaneous regression model is presented which permits regularization priors to be specified in a way that avoids this unintentional "re-confounding". The new model is illustrated on synthetic and empirical data.
AB - This paper investigates the use of regularization priors in the context of treatment effect estimation using observational data where the number of control variables is large relative to the number of observations. First, the phenomenon of "regularization-induced confounding" is introduced, which refers to the tendency of regularization priors to adversely bias treatment effect estimates by over-shrinking control variable regression coefficients. Then, a simultaneous regression model is presented which permits regularization priors to be specified in a way that avoids this unintentional "re-confounding". The new model is illustrated on synthetic and empirical data.
KW - Causal inference
KW - Observational data
KW - Shrinkage estimation
KW - Causal inference
KW - Observational data
KW - Shrinkage estimation
KW - Causal inference
KW - Observational data
KW - Shrinkage estimation
UR - http://www.scopus.com/inward/record.url?scp=85039841453&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-85039841453&origin=recordpage
UR - http://jingyuhe.com/files/RegularizedTreatmentEffect.pdf
U2 - 10.1214/16-BA1044
DO - 10.1214/16-BA1044
M3 - 21_Publication in refereed journal
VL - 13
SP - 163
EP - 182
JO - Bayesian Analysis
JF - Bayesian Analysis
SN - 1936-0975
IS - 1
ER -