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Quasi-Oracle Estimation of Heterogeneous Treatment Effects

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  • Xinkun Nie
  • Stefan Wager

Abstract

Flexible estimation of heterogeneous treatment effects lies at the heart of many statistical challenges, such as personalized medicine and optimal resource allocation. In this paper, we develop a general class of two-step algorithms for heterogeneous treatment effect estimation in observational studies. We first estimate marginal effects and treatment propensities in order to form an objective function that isolates the causal component of the signal. Then, we optimize this data-adaptive objective function. Our approach has several advantages over existing methods. From a practical perspective, our method is flexible and easy to use: In both steps, we can use any loss-minimization method, e.g., penalized regression, deep neural networks, or boosting; moreover, these methods can be fine-tuned by cross validation. Meanwhile, in the case of penalized kernel regression, we show that our method has a quasi-oracle property: Even if the pilot estimates for marginal effects and treatment propensities are not particularly accurate, we achieve the same error bounds as an oracle who has a priori knowledge of these two nuisance components. We implement variants of our approach based on penalized regression, kernel ridge regression, and boosting in a variety of simulation setups, and find promising performance relative to existing baselines.

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  • Xinkun Nie & Stefan Wager, 2017. "Quasi-Oracle Estimation of Heterogeneous Treatment Effects," Papers 1712.04912, arXiv.org, revised Aug 2020.
    • Handle: RePEc:arx:papers:1712.04912
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    References listed on IDEAS

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    1. Stefan Wager & Susan Athey, 2018. "Estimation and Inference of Heterogeneous Treatment Effects using Random Forests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1228-1242, July.
    2. Keisuke Hirano & Jack R. Porter, 2009. "Asymptotics for Statistical Treatment Rules," Econometrica, Econometric Society, vol. 77(5), pages 1683-1701, September.
    3. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    4. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    5. Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
    6. Athey, Susan & Wager, Stefan, 2017. "Efficient Policy Learning," Research Papers 3506, Stanford University, Graduate School of Business.
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    Citations

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    Cited by:

    1. Lechner, Michael, 2018. "Modified Causal Forests for Estimating Heterogeneous Causal Effects," IZA Discussion Papers 12040, Institute of Labor Economics (IZA).
    2. Anthony Strittmatter, 2018. "What Is the Value Added by Using Causal Machine Learning Methods in a Welfare Experiment Evaluation?," Papers 1812.06533, arXiv.org, revised Dec 2021.
    3. Christian Gische & Manuel C. Voelkle, 2022. "Beyond the Mean: A Flexible Framework for Studying Causal Effects Using Linear Models," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 868-901, September.
    4. Masahiro Kato, 2024. "Triple/Debiased Lasso for Statistical Inference of Conditional Average Treatment Effects," Papers 2403.03240, arXiv.org.
    5. Nikolaos Ignatiadis & Wolfgang Huber, 2021. "Covariate powered cross‐weighted multiple testing," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(4), pages 720-751, September.
    6. Patrick Rehill & Nicholas Biddle, 2023. "Transparency challenges in policy evaluation with causal machine learning -- improving usability and accountability," Papers 2310.13240, arXiv.org, revised Mar 2024.
    7. Kelvin Mulungu & Zewdu Ayalew Abro & Wambui Beatrice Muriithi & Menale Kassie & Miachael Kidoido & Subramanian Sevgan & Samira Mohamed & Chrysantus Tanga & Fathiya Khamis, 2024. "One size does not fit all: Heterogeneous economic impact of integrated pest management practices for mango fruit flies in Kenya—a machine learning approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 75(1), pages 261-279, February.
    8. Patrick Rehill & Nicholas Biddle, 2023. "Fairness Implications of Heterogeneous Treatment Effect Estimation with Machine Learning Methods in Policy-making," Papers 2309.00805, arXiv.org.
    9. Christopher Adjaho & Timothy Christensen, 2022. "Externally Valid Policy Choice," Papers 2205.05561, arXiv.org, revised Jul 2023.
    10. Patrick Rehill, 2024. "How do applied researchers use the Causal Forest? A methodological review of a method," Papers 2404.13356, arXiv.org.
    11. Miruna Oprescu & Vasilis Syrgkanis & Zhiwei Steven Wu, 2018. "Orthogonal Random Forest for Causal Inference," Papers 1806.03467, arXiv.org, revised Sep 2019.
    12. Ashesh Rambachan & Amanda Coston & Edward Kennedy, 2022. "Robust Design and Evaluation of Predictive Algorithms under Unobserved Confounding," Papers 2212.09844, arXiv.org, revised May 2024.
    13. Yusuke Narita & Shota Yasui & Kohei Yata, 2018. "Efficient Counterfactual Learning from Bandit Feedback," Cowles Foundation Discussion Papers 2155, Cowles Foundation for Research in Economics, Yale University.
    14. Hugo Bodory & Martin Huber & Michael Lechner, 2024. "The Finite Sample Performance of Instrumental Variable-Based Estimators of the Local Average Treatment Effect When Controlling for Covariates," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2053-2078, October.
    15. Tomoshige Nakamura & Mihoko Minami, 2021. "Causal Subclassification Tree Algorithm and Robust Causal Effect Estimation via Subclassification," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(1), pages 1-40, January.
    16. Tatsushi Oka & Shota Yasui & Yuta Hayakawa & Undral Byambadalai, 2024. "Regression Adjustment for Estimating Distributional Treatment Effects in Randomized Controlled Trials," Papers 2407.14074, arXiv.org.
    17. Fengshi Niu & Harsha Nori & Brian Quistorff & Rich Caruana & Donald Ngwe & Aadharsh Kannan, 2022. "Differentially Private Estimation of Heterogeneous Causal Effects," Papers 2202.11043, arXiv.org.

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