A goodness-of-fit test for structural nested mean models
结构嵌套均值模型的拟合优度检验AI 解读 ↓
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结构嵌套均值模型的拟合优度检验AI 解读 ↓
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Coarse structural nested mean models are tools to estimate treatment effects from longitudinal observational data with time-dependent confounding. There is, however, no guidance on how to specify the treatment effect model, and model misspecification can lead to bias. We derive a goodness-of-fit test based on modified overidentification restrictions tests for evaluating a treatment effect model, and show that our test statistic is doubly-robust in the sense that, with a correct treatment effect model, the test has the correct type-I error if either the treatment initiation model or a nuisance regression outcome model is correctly specified. In a simulation study we show that the test has correct type-I error and can detect model misspecification. We use the test to study how the timing of antiretroviral treatment initiation after HIV infection predicts the effect of one year of treatment in HIV-positive patients with acute and early infection.
I study randomization inference for dynamic causal effects in panels with many units and few periods when treatment is endogenous and an instrument is as good as randomly assigned only through the innovations of a first-order autoregressive assignment mechanism with unknown persistence. The persistence is a nuisance parameter in two senses: it determines which weighted average of heterogeneous causal effects the instrumented local projection estimand measures, and it governs…
伪面板事件研究:可信应用的计量经济学基础
Event studies with panel data are widely used to estimate treatment effects. With repeated cross-sections, future treatment dates are unobserved for untreated individuals. Pseudo-panel event studies impute pre-treatment outcomes of the treated using matched untreated individuals. This paper establishes identification in such designs and characterizes bias when identification conditions fail. I show that the pseudo-panel regression is equivalent to weighted least squares with…
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…
自删失模型下信息性缺失的纵向因果推断
Longitudinal observational data are often subject to informative missingness. For example, in healthcare research using electronic health records, covariates and outcomes are measured only when patients interact with the healthcare system. Whether these data are observed usually depends on the unobserved variable values themselves, introducing a common form of data missing not at random. We develop identification and estimation methods for the effects of longitudinal…
匹配三重差分:协变量调整框架
A common empirical strategy in triple-differences (DDD) is to include either covariate trends or covariate levels to a three-way fixed effects (3WFE) regression. This strategy is typically motivated by the conditional parallel gaps assumption which assumes that deviations from parallel trends are similar among units with comparable observed covariates. We formally study both 3WFE specifications and show that, in general, neither consistently estimates the average treatment…
The bootstrap is widely used to construct confidence intervals but may perform poorly for some estimators. We consider semiparametric estimators that use cross-validation to estimate nuisance pa- rameters and can be computationally expensive in large datasets. We illustrate potential problems with bootstrapping with replacement when cross-validation is used and extend the cheap bootstrap confidence interval to subsampling without replacement for asymptotically linear…