On Model Selection and Model Misspecification in Causal Inference
46 Pages Posted: 23 Nov 2010
Date Written: 2010
Standard variable-selection procedures, primarily developed for the construction of outcome prediction models, are routinely applied when assessing exposure e®ects in observational studies. We argue that this tradition is sub-optimal and prone to yield bias in exposure effect estimates as well as their corresponding uncertainty estimates. We weigh the pros and cons of confounder-selection procedures and propose a procedure directly targeting the quality of the exposure effect estimator. We further demonstrate that certain strategies for inferring causal effects have the desirable features (a) of producing (approximately) valid confidence intervals, even when the confounder-selection process is ignored, and (b) of being robust against certain forms of misspecification of the association of confounders with both exposure and outcome.
Keywords: Causal inference, Confounder selection, Double robustness, Influential weights, Model selection, Model uncertainty, Propensity score
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