Long-Term Causal Inference with Imperfect Surrogates using Many Weak Experiments, Proxies, and Cross-Fold Moments

Abstract: Inferring causal effects on long-term outcomes using short-term surrogates is crucial to rapid innovation. However, even when treatments are randomized and surrogates fully mediate their effect on outcomes, it's possible that we get the direction of causal effects wrong due to confounding between surrogates and outcomes -- a situation famously known as the surrogate paradox. The availability of many historical experiments offer the opportunity to instrument for the surrogate and bypass this confounding. However, even as the number of experiments grows, two-stage least squares has non-vanishing bias if each experiment has a bounded size, and this bias is exacerbated when most experiments barely move metrics, as occurs in practice. We show how to eliminate this bias using cross-fold procedures, JIVE being one example, and construct valid confidence intervals for the long-term effect in new experiments where long-term outcome has not yet been observed. Our methodology further allows to proxy for effects not perfectly mediated by the surrogates, allowing us to handle both confounding and effect leakage as violations of standard statistical surrogacy conditions.