Causal Inference in high dimensions: A marriage between Bayesian modeling and good frequentist properties

Abstract: We introduce a framework for estimating causal effects of binary and continuous treatments in high dimensions. We show how posterior distributions of treatment and outcome models can be used together with doubly robust estimators. We propose an approach to uncertainty quantification for the doubly robust estimator which utilizes posterior distributions of model parameters and (1) results in good frequentist properties in small samples, (2) is based on a single MCMC, and (3) improves over frequentist measures of uncertainty which rely on asymptotic properties. We show that our proposed variance estimation strategy is consistent when both models are correctly specified and that it is conservative in finite samples or when one or both models are misspecified. We consider a flexible framework for modeling the treatment and outcome processes within the Bayesian paradigm that reduces model dependence, accommodates nonlinearity, and achieves dimension reduction of the covariate space. We illustrate the ability of the proposed approach to flexibly estimate causal effects in high dimensions and appropriately quantify uncertainty, and show that it performs well relative to existing approaches. Finally, we estimate the effect of continuous environmental exposures on cholesterol and triglyceride levels. An R package is available at github.com/jantonelli111/DoublyRobustHD.