Covariate balancing propensity score by tailored loss functions (Q1731067)

It is known that in observational studies the propensity scores are commonly estimated by maximum likelihood but may fail to balance high-dimensional pretreatment covariates even after specification search.\par The aim of the present paper is to introduce a general framework that unifies and generalizes several recent proposals to improve covariate balance of a propensity score model in the designing of an observational study. Following a conceptually simple solution the author in order to estimate the propensity score proposed to optimize, instead of the most widely used negative Bernoulli likelihood, special loss functions (covariate balancing scoring rules (CBSR)) determined uniquely by the link function in the generalized linear model (GLM) and the estimand. As a result the author managed to show that the CBSR is much more robust in finite samples and it does not lose asymptotic efficiency in estimating the weighted average treatment effect compared to the Bernoulli likelihood.\par Furthermore the author managed to propose practical strategies to balance covariate functions in much more rich functions classes in order to estimate the maximum bias of the inverse probability weighting estimators and to construct honest confidence intervals in finite samples.