High-dimensional inference for the average treatment effect under model misspecification using penalized bias-reduced double-robust estimation
Abstract
The presence of confounding by high-dimensional variables complicates the estimation of the average effect of a point treatment. On the one hand, it necessitates the use of variable selection strategies or more general high-dimensional statistical methods. On the other hand, the use of such techniques tends to result in biased estimators with a non-standard asymptotic behavior. Double-robust estimators are useful for offering a resolution because they possess a so-called small bias property....