Scandinavian Working Papers in Economics

Working Paper Series,
IFAU - Institute for Evaluation of Labour Market and Education Policy

No 2017:23: Model misspecification and bias for inverse probability weighting and doubly robust estimators

Ingeborg Waernbaum () and Laura Pazzagli
Additional contact information
Ingeborg Waernbaum: IFAU and Department of statistics, UmeƄ University, Postal: Institute for Evaluation of Labour Market and Education Policy, P O Box 513, SE-751 20 Uppsala, Sweden
Laura Pazzagli: Division of Statistics, Department of Economics, University of Perugia, Postal: Perugia, Italy

Abstract: In the causal inference literature a class of semi-parametric estimators is called robust if the estimator has desirable properties under the assumption that at least one of the working models is correctly specified. A standard example is a doubly robust estimator that specifies parametric models both for the propensity score and the outcome regression. When estimating a causal parameter in an observational study the role of parametric models is often not to be true representations of the data generating process, instead the motivation for their use is to facilitate the adjustment for confounding, for example by reducing the dimension of the covariate vector, making the assumption of at least one true model unlikely to hold. In this paper we propose a crude analytical approach to study the large sample bias of estimators when all models are assumed to be approximations of the true data generating process, i.e., all models are misspecified. We apply our approach to three prototypical estimators, two inverse probability weighting (IPW) estimators, using a misspecified propensity score model, and a doubly robust (DR) estimator, using misspecified models for the outcome regression and the propensity score. To compare the consequences of the model misspecifications for the estimators we show conditions for when using normalized weights leads to a smaller bias compared to a simple IPW estimator. To analyze the question of when the use of two misspecified models are better than one we derive necessary and sucient conditions for when the DR estimator has a smaller bias than the simple IPW estimator and when it has a smaller bias than the IPW estimator with normalized weights. For most conditions in the comparisons, the covariance between the propensity score model error and the conditional outcomes plays an important role. The results are illustrated in a simulation study.

Keywords: average causal effects; comparing biases; propensity score; robustness

JEL-codes: C14; C18; C52

26 pages, December 9, 2017

Full text files

https://www.ifau.se/...y-robust-estimators/ PDF-file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to Ali Ghooloo ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-03-18 13:49:26.