Скачать или смотреть Discussion Meeting - Augmented balancing weights as linear regression

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Augmented balancing weights as linear regression
We provide a novel characterization of augmented balancing weights, also known as automatic de-biased machine learning (AutoDML). These popular doubly robust or de-biased machine learning estimators combine outcome modeling with balancing weights — weights that achieve covariate balance directly in lieu of estimating and inverting the propensity score.

When the outcome and weighting models are both linear in some (possibly infinite) basis, we show that the augmented estimator is equivalent to a single linear model with coefficients that combine the coefficients from the original outcome model coefficients and coefficients from an unpenalized ordinary least squares (OLS) fit on the same data. We see that, under certain choices of regularization parameters, the augmented estimator often collapses to the OLS estimator alone; this occurs for example in a re-analysis of the LaLonde (1986) dataset. We then extend these results to specific choices of outcome and weighting models.

We first show that the augmented estimator that uses (kernel) ridge regression for both outcome and weighting models is equivalent to a single, undersmoothed (kernel) ridge regression. This holds numerically in finite samples and lays the groundwork for a novel analysis of undersmoothing and asymptotic rates of convergence. When the weighting model is instead lasso-penalized regression, we give closed-form expressions for special cases and demonstrate a “double selection” property.

Our framework opens the black box on this increasingly popular class of estimators, bridges the gap between existing results on the semiparametric efficiency of undersmoothed and doubly robust estimators, and provides new insights into the performance of augmented balancing weights.

Authors:
David Bruns-Smith, UC Berkeley, USA,
Oliver Dukes, Ghent University, Belgium,
A V Feller, UC Berkeley, USA,
Elizabeth L Ogburn, John Hopkins University, USA.