Variable Selection in Causal Inference Using Penalization
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Abstract: In the causal adjustment setting, variable selection techniques based on either the outcome or treatment allocation model can result in the omission of confounders or the inclusion of spurious variables in the propensity score. We propose a variable selection method based on a penalized likelihood which considers the response and treatment assignment models simultaneously. The proposed method facilitates confounder selection in high-dimensional settings. We show that under some conditions our method attains the oracle property. The selected variables are used to form a double robust regression estimator of the treatment effect. Simulation results are presented and economic growth data are analyzed.
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