论文标题

重新审视平均治疗效果的双重强大估计

Doubly robust estimation of average treatment effect revisited

论文作者

Guo, Keli, Ye, Chuyun, Fan, Jun, Zhu, Lixing

论文摘要

所描述的研究是为了通过对渐近效率的比较进行系统研究,重新探讨平均治疗效应的经典稳定估计,以及估计的倾向评分和结果回归的所有可能组合。为此,我们分别考虑了参数,非参数和半参数结构下的所有九种组合。比较提供了有关何时以及如何有效利用模型结构在实践中的有用信息。此外,当存在模型三分之一的倾向分数或结果回归时,我们还会给出相应的比较。观察到三个现象。首先,当正确指定所有模型时,任何组合都可以达到相同的半参数效率结合,这与某些组合的现有结果一致。其次,当正确建模和估计倾向得分时,结果回归是在参数或半绘画上拼写错误的,渐近方差始终大于或等于半磁头效率结合。第三,相反,当倾向得分在参数或半绘画上拼写错误时,在正确建模和估计结果回归时,渐近方差不一定大于半参数效率结合。在某些情况下,发生“超效率”现象。我们还进行了一项小型数值研究。

The research described herewith is to re-visit the classical doubly robust estimation of average treatment effect by conducting a systematic study on the comparisons, in the sense of asymptotic efficiency, among all possible combinations of the estimated propensity score and outcome regression. To this end, we consider all nine combinations under, respectively, parametric, nonparametric and semiparametric structures. The comparisons provide useful information on when and how to efficiently utilize the model structures in practice. Further, when there is model-misspecification, either propensity score or outcome regression, we also give the corresponding comparisons. Three phenomena are observed. Firstly, when all models are correctly specified, any combination can achieve the same semiparametric efficiency bound, which coincides with the existing results of some combinations. Secondly, when the propensity score is correctly modeled and estimated, but the outcome regression is misspecified parametrically or semiparametrically, the asymptotic variance is always larger than or equal to the semiparametric efficiency bound. Thirdly, in contrast, when the propensity score is misspecified parametrically or semiparametrically, while the outcome regression is correctly modeled and estimated, the asymptotic variance is not necessarily larger than the semiparametric efficiency bound. In some cases, the "super-efficiency" phenomenon occurs. We also conduct a small numerical study.

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