Inferring causal impact using Bayesian structural time-series models
From MaRDI portal
Abstract: An important problem in econometrics and marketing is to infer the causal impact that a designed market intervention has exerted on an outcome metric over time. This paper proposes to infer causal impact on the basis of a diffusion-regression state-space model that predicts the counterfactual market response in a synthetic control that would have occurred had no intervention taken place. In contrast to classical difference-in-differences schemes, state-space models make it possible to (i) infer the temporal evolution of attributable impact, (ii) incorporate empirical priors on the parameters in a fully Bayesian treatment, and (iii) flexibly accommodate multiple sources of variation, including local trends, seasonality and the time-varying influence of contemporaneous covariates. Using a Markov chain Monte Carlo algorithm for posterior inference, we illustrate the statistical properties of our approach on simulated data. We then demonstrate its practical utility by estimating the causal effect of an online advertising campaign on search-related site visits. We discuss the strengths and limitations of state-space models in enabling causal attribution in those settings where a randomised experiment is unavailable. The CausalImpact R package provides an implementation of our approach.
Recommendations
- Bayesian method for causal inference in spatially-correlated multivariate time series
- Robust causal inference for incremental return on ad spend with randomized paired geo experiments
- Causal inference with multiple time series: principles and problems
- Causal inference in statistics: an overview
- Bayesian regression tree models for causal inference: regularization, confounding, and heterogeneous effects (with discussion)
Cites work
- scientific article; zbMATH DE number 4070082 (Why is no real title available?)
- scientific article; zbMATH DE number 1034042 (Why is no real title available?)
- A simple and efficient simulation smoother for state space time series analysis
- Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
- Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
- Bayesian forecasting and dynamic models.
- Bayesian mixed-effects inference on classification performance in hierarchical data sets
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Data augmentation for support vector machines
- Determining the optimal return on investment for an advertising compaign
- Estimating the causal effects of marketing interventions using propensity score methodology
- Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
- How Much Should We Trust Differences-In-Differences Estimates?
- Identification and Inference in Nonlinear Difference-in-Differences Models
- Mixtures of g Priors for Bayesian Variable Selection
- Mostly harmless econometrics. An empiricist's companion.
- On Gibbs sampling for state space models
- Predicting the present with Bayesian structural time series
- Rao-Blackwellization for Bayesian variable selection and model averaging in linear and binary regression: a novel data augmentation approach
- Semiparametric Difference-in-Differences Estimators
- The simulation smoother for time series models
Cited in
(33)- Statistical modeling of causal effects in continuous time
- Posterior predictive treatment assignment methods for causal inference in the context of time-varying treatments
- Toward Causal Inference for Spatio-Temporal Data: Conflict and Forest Loss in Colombia
- Does terrorism trigger online hate speech? On the association of events and time series
- Change surfaces for expressive multidimensional changepoints and counterfactual prediction
- Multivariate Bayesian structural time series model
- Invariance, causality and robustness
- Integrative analysis using coupled latent variable models for individualizing prognoses
- A dynamic causal modeling of the second outbreak of COVID-19 in Italy
- Time-weighted multi-touch attribution and channel relevance in the customer journey to online purchase
- Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
- Extending Bayesian structural time-series estimates of causal impact to many-household conservation initiatives
- Split-door criterion: identification of causal effects through auxiliary outcomes
- Time series experiments and causal estimands: exact randomization tests and trading
- Robust causal inference for incremental return on ad spend with randomized paired geo experiments
- Demand forecasting of individual probability density functions with machine learning
- Estimating the effects of a California gun control program with multitask Gaussian processes
- Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model
- Analysis of telecom service operation behavior with time series
- A machine learning model for nowcasting epidemic incidence
- CausalImpact
- Discussion of ‘Dynamic dependence networks: financial time series forecasting and portfolio decisions’
- Bayesian method for causal inference in spatially-correlated multivariate time series
- Confidence intervals of treatment effects in panel data models with interactive fixed effects
- Synthetic learner: model-free inference on treatments over time
- Robust synthetic control
- Bayesian matrix completion approach to causal inference with panel data
- Assessing the causal effect of binary interventions from observational panel data with few treated units
- A causal hidden Markov model for assessing effects of multiple direct mail campaigns
- SPORTSCausal
- Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
- Statistical modeling of computer malware propagation dynamics in cyberspace
- Estimating the effectiveness of permanent price reductions for competing products using multivariate Bayesian structural time series models
This page was built for publication: Inferring causal impact using Bayesian structural time-series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q89980)
