Robust Estimation of Propensity Score Weights via Subclassification

Abstract: Weighting estimators based on propensity scores are widely used for causal estimation in a variety of contexts, such as observational studies, marginal structural models and interference. They enjoy appealing theoretical properties such as consistency and possible efficiency under correct model specification. However, this theoretical appeal may be diminished in practice by sensitivity to misspecification of the propensity score model. To improve on this, we borrow an idea from an alternative approach to causal effect estimation in observational studies, namely subclassification estimators. It is well known that compared to weighting estimators, subclassification methods are usually more robust to model misspecification. In this paper, we first discuss an intrinsic connection between the seemingly unrelated weighting and subclassification estimators, and then use this connection to construct robust propensity score weights via subclassification. We illustrate this idea by proposing so-called full-classification weights and accompanying estimators for causal effect estimation in observational studies. Our novel estimators are both consistent and robust to model misspecification, thereby combining the strengths of traditional weighting and subclassification estimators for causal effect estimation from observational studies. Numerical studies show that the proposed estimators perform favorably compared to existing methods.