Lasso adjustments of treatment effect estimates in randomized experiments

DOI10.1073/PNAS.1510506113zbMATH Open1357.62098arXiv1507.03652OpenAlexW2963608360WikidataQ27320776 ScholiaQ27320776MaRDI QIDQ2962335FDOQ2962335

Authors: Adam Bloniarz, Hanzhong Liu, Cun-Hui Zhang, Jasjeet Sekhon, Bin Yu 

Publication date: 16 February 2017

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Abstract: We provide a principled way for investigators to analyze randomized experiments when the number of covariates is large. Investigators often use linear multivariate regression to analyze randomized experiments instead of simply reporting the difference of means between treatment and control groups. Their aim is to reduce the variance of the estimated treatment effect by adjusting for covariates. If there are a large number of covariates relative to the number of observations, regression may perform poorly because of overfitting. In such cases, the Lasso may be helpful. We study the resulting Lasso-based treatment effect estimator under the Neyman-Rubin model of randomized experiments. We present theoretical conditions that guarantee that the estimator is more efficient than the simple difference-of-means estimator, and we provide a conservative estimator of the asymptotic variance, which can yield tighter confidence intervals than the difference-of-means estimator. Simulation and data examples show that Lasso-based adjustment can be advantageous even when the number of covariates is less than the number of observations. Specifically, a variant using Lasso for selection and OLS for estimation performs particularly well, and it chooses a smoothing parameter based on combined performance of Lasso and OLS.

Full work available at URL: https://arxiv.org/abs/1507.03652

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Optimal statistical designs (62K05)

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Cited In (26)

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• Stable Discovery of Interpretable Subgroups via Calibration in Causal Studies
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• Rerandomization with diminishing covariate imbalance and diverging number of covariates
• Randomization Tests for Weak Null Hypotheses in Randomized Experiments
• Instrument Validity Tests With Causal Forests
• Robust causal inference for incremental return on ad spend with randomized paired geo experiments
• Statistical inference of heterogeneous treatment effect based on single-index model
• The Generalized Oaxaca-Blinder Estimator
• High-Dimensional Model-Assisted Inference for Local Average Treatment Effects With Instrumental Variables
• Moving beyond the conventional stratified analysis to estimate an overall treatment efficacy with the data from a comparative randomized clinical study
• Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with Noncompliance
• Pair-Switching Rerandomization
• Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
• High-dimensional regression adjustments in randomized experiments
• Estimation and inference of treatment effects with \(L_2\)-boosting in high-dimensional settings
• Model-assisted estimators with auxiliary functional data
• Neighborhood-based cross fitting approach to treatment effects with high-dimensional data
• On the covariate-adjusted estimation for an overall treatment difference with data from a randomized comparative clinical trial
• Regression-adjusted average treatment effect estimates in stratified randomized experiments
• Randomization-based Joint Central Limit Theorem and Efficient Covariate Adjustment in Randomized Block 2 ^K Factorial Experiments
• Improving precision and power in randomized trials for COVID‐19 treatments using covariate adjustment, for binary, ordinal, and time‐to‐event outcomes
• Covariate-adaptive randomization with variable selection in clinical trials

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