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Publications
Publications
  • 2023
  • Working Paper

Distributionally Robust Causal Inference with Observational Data

By: Dimitris Bertsimas, Kosuke Imai and Michael Lingzhi Li
  • Format:Electronic
  • | Language:English
  • | Pages:32
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Abstract

We consider the estimation of average treatment effects in observational studies and propose a new framework of robust causal inference with unobserved confounders. Our approach is based on distributionally robust optimization and proceeds in two steps. We first specify the maximal degree to which the distribution of unobserved potential outcomes may deviate from that of observed outcomes. We then derive sharp bounds on the average treatment effects under this assumption. Our framework encompasses the popular marginal sensitivity model as a special case, and we demonstrate how the proposed methodology can address a primary challenge of the marginal sensitivity model that it produces uninformative results when unobserved confounders substantially affect treatment and outcome. Specifically, we develop an alternative sensitivity model, called the distributional sensitivity model, under the assumption that heterogeneity of treatment effect due to unobserved variables is relatively small. Unlike the marginal sensitivity model, the distributional sensitivity model allows for potential lack of overlap and often produces informative bounds even when unobserved variables substantially affect both treatment and outcome. Finally, we show how to extend the distributional sensitivity model to difference-in-differences designs and settings with instrumental variables. Through simulation and empirical studies, we demonstrate the applicability of the proposed methodology.

Keywords

AI and Machine Learning; Mathematical Methods

Citation

Bertsimas, Dimitris, Kosuke Imai, and Michael Lingzhi Li. "Distributionally Robust Causal Inference with Observational Data." Working Paper, February 2023.
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About The Author

Michael Lingzhi Li

Technology and Operations Management
→More Publications

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    • 2025
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    Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments

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    • 2024
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    Neyman Meets Causal Machine Learning: Experimental Evaluation of Individualized Treatment Rules

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    • 2024
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    Learning to Cover: Online Learning and Optimization with Irreversible Decisions

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More from the Authors
  • Statistical Inference for Heterogeneous Treatment Effects Discovered by Generic Machine Learning in Randomized Experiments By: Kosuke Imai and Michael Lingzhi Li
  • Neyman Meets Causal Machine Learning: Experimental Evaluation of Individualized Treatment Rules By: Michael Lingzhi Li and Kosuke Imai
  • Learning to Cover: Online Learning and Optimization with Irreversible Decisions By: Alexander Jacquillat and Michael Lingzhi Li
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