Distributionally Robust Causal Inference with Observational Data

• URL: http://arxiv.org/abs/2210.08326v1
• Date: Sat, 15 Oct 2022 16:02:33 GMT
• Title: Distributionally Robust Causal Inference with Observational Data
• Authors: Dimitris Bertsimas, Kosuke Imai, Michael Lingzhi Li
• Abstract summary: We consider the estimation of average treatment effects in observational studies without the standard assumption of unconfoundedness. We propose a new framework of robust causal inference under the general observational study setting with the possible existence of unobserved confounders.
• Score: 4.8986598953553555
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We consider the estimation of average treatment effects in observational studies without the standard assumption of unconfoundedness. We propose a new framework of robust causal inference under the general observational study setting with the possible existence of unobserved confounders. Our approach is based on the method of 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 obsered 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 can be extended to the difference-in-difference and regression discontinuity designs as well as instrumental variables. Through simulation and empirical studies, we demonstrate the applicability of the proposed methodology to real-world settings.

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