Outcome‐adaptive lasso: Variable selection for causal inference

Methodological advancements, including propensity score methods, have resulted in improved unbiased estimation of treatment effects from observational data. Traditionally, a “throw in the kitchen sink” approach has been used to select covariates for inclusion into the propensity score, but recent work shows including unnecessary covariates can impact both the bias and statistical efficiency of propensity score estimators. In particular, the inclusion of covariates that impact exposure but not the outcome, can inflate standard errors without improving bias, while the inclusion of covariates associated with the outcome but unrelated to exposure can improve precision. We propose the outcome‐adaptive lasso for selecting appropriate covariates for inclusion in propensity score models to account for confounding bias and maintaining statistical efficiency. This proposed approach can perform variable selection in the presence of a large number of spurious covariates, that is, covariates unrelated to outcome or exposure. We present theoretical and simulation results indicating that the outcome‐adaptive lasso selects the propensity score model that includes all true confounders and predictors of outcome, while excluding other covariates. We illustrate covariate selection using the outcome‐adaptive lasso, including comparison to alternative approaches, using simulated data and in a survey of patients using opioid therapy to manage chronic pain.