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18 février 2024
- 2402.11652
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Economics - Econometrics Computer Science - Machine Learning Statistics - Methodology Statistics - Machine LearningSujets proches
Statistical data Cases, clinical reports, statistics Statistical data Statistical analysis Statistical methods Statistical science Learning, Machine ArticleCiter ce document
Alberto Abadie et al., « Doubly Robust Inference in Causal Latent Factor Models », arXiv - économie
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Résumé
This article introduces a new estimator of average treatment effects under unobserved confounding in modern data-rich environments featuring large numbers of units and outcomes. The proposed estimator is doubly robust, combining outcome imputation, inverse probability weighting, and a novel cross-fitting procedure for matrix completion. We derive finite-sample and asymptotic guarantees, and show that the error of the new estimator converges to a mean-zero Gaussian distribution at a parametric rate. Simulation results demonstrate the practical relevance of the formal properties of the estimators analyzed in this article.