A New Covariate Selection Strategy for High Dimensional Data in Causal Effect Estimation with Multivariate Treatments
多变量处理因果效应估计中的高维协变量选择新策略
Selection of covariates is crucial in the estimation of average treatment effects given observational data with high or even ultra-high dimensional pretreatment variables. Existing methods for this problem typically assume sparse linear models for both outcome and univariate treatment, and cannot handle situations with ultra-high dimensional covariates. In this paper, we propose a new covariate selection strategy called double screening prior adaptive lasso (DSPAL) to select…