Instrumental Variable Estimation for Causal Inference in Longitudinal Data with Time-Dependent Latent Confounders
含时变潜在混杂的纵向数据因果推断:工具变量估计AI 解读 ↓
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Causal inference from longitudinal observational data is a challenging problem due to the difficulty in correctly identifying the time-dependent confounders, especially in the presence of latent time-dependent confounders. Instrumental variable (IV) is a powerful tool for addressing the latent confounders issue, but the traditional IV technique cannot deal with latent time-dependent confounders in longitudinal studies. In this work, we propose a novel Time-dependent Instrumental Factor Model (TIFM) for time-varying causal effect estimation from data with latent time-dependent confounders. At each time-step, the proposed TIFM method employs the Recurrent Neural Network (RNN) architecture to infer latent IV, and then uses the inferred latent IV factor for addressing the confounding bias caused by the latent time-dependent confounders. We provide a theoretical analysis for the proposed TIFM method regarding causal effect estimation in longitudinal data. Extensive evaluation with synthetic datasets demonstrates the effectiveness of TIFM in addressing causal effect estimation over time. We further apply TIFM to a climate dataset to showcase the potential of the proposed method in tackling real-world problems.
嵌套非参数工具变量回归
Several causal parameters in short panel data models are functionals of a nested nonparametric instrumental variable regression (nested NPIV). Recent examples include mediated, time varying, and long term treatment effects identified using proxy variables. In econometrics, examples arise in triangular simultaneous equations and hedonic price systems. However, it appears that explicit mean square convergence rates for nested NPIV are unknown, preventing inference on some of…
纵向中介与事件时间结局的贝叶斯半参数因果中介分析
Causal mediation analysis of observational data is an important tool for investigating the potential causal effects of medications on disease-related risk factors, and on time-to-death (or disease progression) through these risk factors. However, when analyzing data from a cohort study, such analyses are complicated by the longitudinal structure of the risk factors and the presence of time-varying confounders. Leveraging data from the Atherosclerosis Risk in Communities…
内生性面板数据中连续处理效应的双重/去偏机器学习
We propose a double/debiased machine learning framework to estimate average derivative effects in nonparametric panel models with two-way fixed effects. It extends instrumental variable methods to panel settings, handles continuous treatments and various forms of endogeneity, and introduces a cross-fitting scheme to restore independence after eliminating time fixed effects. A penalized GMM debiasing term enables automatic debiased machine learning with endogeneity. Our…
静态面板工具变量模型的双重机器学习:方法与应用
Panel data methods are widely used in empirical analysis to address unobserved heterogeneity, but causal inference remains challenging when treatments are endogenous and confounding variables high-dimensional and potentially nonlinear. Standard instrumental variables (IV) estimators, such as two-stage least squares (2SLS), become unreliable when instrument validity requires flexibly conditioning on many covariates with potentially non-linear effects. This paper develops a…
高维实验与观察性研究中的效应同质性及混杂检验
We propose a framework for testing the homogeneity of conditional average treatment effects (CATEs) across multiple experimental and observational studies. Our approach leverages multiple randomized trials to assess whether treatment effects vary with unobserved heterogeneity that differs across trials: if CATEs are homogeneous, this indicates the absence of interactions between treatment and unobservables in the mean effect. Comparing CATEs between experimental and…
一般工具变量下因果效应的识别与去偏学习
Instrumental variable methods are fundamental to causal inference when treatment assignment is confounded by unobserved variables. In this article, we develop a general nonparametric causal framework for identification and learning with multi-categorical or continuous instrumental variables. Specifically, the mean potential outcomes and the average treatment effect can be identified via a regular weighting function derived from the proposed framework. Leveraging…