Department seminar by Lin Liu, Harvard University

Wednesday, January 22, 2020 10:00 am - 10:00 am EST (GMT -05:00)

The possibility of nearly assumption-free inference in causal inference

In causal effect estimation, the state-of-the-art is the so-called double machine learning (DML) estimators, which combine the benefit of doubly robust estimation, sample splitting and using machine learning methods to estimate nuisance parameters. The validity of the confidence interval associated with a DML estimator, in most part, relies on the complexity of nuisance parameters and how close the machine learning estimators are to the nuisance parameters. Before we have a complete understanding of the theory of many machine learning methods including deep neural networks, even a DML estimator may have a bias so large that prohibits valid inference. In this talk, we describe a nearly assumption-free procedure that can either criticize the invalidity of the Wald confidence interval associated with the DML estimators of some causal effect of interest or falsify the certificates (i.e. the mathematical conditions) that, if true, could ensure valid inference. Essentially, we are testing the null hypothesis that if the bias of an estimator is smaller than a fraction $\rho$ its standard error. Our test is valid under the null without requiring any complexity (smoothness or sparsity) assumptions on the nuisance parameters or the properties of machine learning estimators and may have power to inform the analysts that they have to do something else than DML estimators or Wald confidence intervals for inference purposes. This talk is based on joint work with Rajarshi Mukherjee and James M. Robins.