Boosted Control Functions

• URL: http://arxiv.org/abs/2310.05805v1
• Date: Mon, 9 Oct 2023 15:43:46 GMT
• Title: Boosted Control Functions
• Authors: Nicola Gnecco, Jonas Peters, Sebastian Engelke, and Niklas Pfister
• Abstract summary: This work aims to bridge the gap between causal effect estimation and prediction tasks. We establish a novel connection between the field of distribution from machine learning, and simultaneous equation models and control function from econometrics. Within this framework, we propose a strong notion of invariance for a predictive model and compare it with existing (weaker) versions.
• Score: 10.503777692702952
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Modern machine learning methods and the availability of large-scale data opened the door to accurately predict target quantities from large sets of covariates. However, existing prediction methods can perform poorly when the training and testing data are different, especially in the presence of hidden confounding. While hidden confounding is well studied for causal effect estimation (e.g., instrumental variables), this is not the case for prediction tasks. This work aims to bridge this gap by addressing predictions under different training and testing distributions in the presence of unobserved confounding. In particular, we establish a novel connection between the field of distribution generalization from machine learning, and simultaneous equation models and control function from econometrics. Central to our contribution are simultaneous equation models for distribution generalization (SIMDGs) which describe the data-generating process under a set of distributional shifts. Within this framework, we propose a strong notion of invariance for a predictive model and compare it with existing (weaker) versions. Building on the control function approach from instrumental variable regression, we propose the boosted control function (BCF) as a target of inference and prove its ability to successfully predict even in intervened versions of the underlying SIMDG. We provide necessary and sufficient conditions for identifying the BCF and show that it is worst-case optimal. We introduce the ControlTwicing algorithm to estimate the BCF and analyze its predictive performance on simulated and real world data.

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