Susan Athey

Bio: Susan Athey is an academic researcher from Stanford University. The author has contributed to research in topics: Common value auction & Estimator. The author has an hindex of 66, co-authored 261 publications receiving 16957 citations. Previous affiliations of Susan Athey include Harvard University & Columbia University.

Estimation and Inference of Heterogeneous Treatment Effects using Random Forests

Abstract: Many scientific and engineering challenges—ranging from personalized medicine to customized marketing recommendations—require an understanding of treatment effect heterogeneity. In this paper, we develop a non-parametric causal forest for estimating heterogeneous treatment effects that extends Breiman's widely used random forest algorithm. In the potential outcomes framework with unconfoundedness, we show that causal forests are pointwise consistent for the true treatment effect, and have an asymptotically Gaussian and centered sampling distribution. We also discuss a practical method for constructing asymptotic confidence intervals for the true treatment effect that are centered at the causal forest estimates. Our theoretical results rely on a generic Gaussian theory for a large family of random forest algorithms. To our knowledge, this is the first set of results that allows any type of random forest, including classification and regression forests, to be used for provably valid statistical infe...

Recursive partitioning for heterogeneous causal effects

Abstract: In this paper we propose methods for estimating heterogeneity in causal effects in experimental and observational studies and for conducting hypothesis tests about the magnitude of differences in treatment effects across subsets of the population. We provide a data-driven approach to partition the data into subpopulations that differ in the magnitude of their treatment effects. The approach enables the construction of valid confidence intervals for treatment effects, even with many covariates relative to the sample size, and without “sparsity” assumptions. We propose an “honest” approach to estimation, whereby one sample is used to construct the partition and another to estimate treatment effects for each subpopulation. Our approach builds on regression tree methods, modified to optimize for goodness of fit in treatment effects and to account for honest estimation. Our model selection criterion anticipates that bias will be eliminated by honest estimation and also accounts for the effect of making additional splits on the variance of treatment effect estimates within each subpopulation. We address the challenge that the “ground truth” for a causal effect is not observed for any individual unit, so that standard approaches to cross-validation must be modified. Through a simulation study, we show that for our preferred method honest estimation results in nominal coverage for 90% confidence intervals, whereas coverage ranges between 74% and 84% for nonhonest approaches. Honest estimation requires estimating the model with a smaller sample size; the cost in terms of mean squared error of treatment effects for our preferred method ranges between 7–22%.

Generalized random forests

Abstract: We propose generalized random forests, a method for nonparametric statistical estimation based on random forests (Breiman [Mach. Learn. 45 (2001) 5–32]) that can be used to fit any quantity of interest identified as the solution to a set of local moment equations. Following the literature on local maximum likelihood estimation, our method considers a weighted set of nearby training examples; however, instead of using classical kernel weighting functions that are prone to a strong curse of dimensionality, we use an adaptive weighting function derived from a forest designed to express heterogeneity in the specified quantity of interest. We propose a flexible, computationally efficient algorithm for growing generalized random forests, develop a large sample theory for our method showing that our estimates are consistent and asymptotically Gaussian and provide an estimator for their asymptotic variance that enables valid confidence intervals. We use our approach to develop new methods for three statistical tasks: nonparametric quantile regression, conditional average partial effect estimation and heterogeneous treatment effect estimation via instrumental variables. A software implementation, grf for R and C++, is available from CRAN.

Estimation and Inference of Heterogeneous Treatment Effects using Random Forests

Abstract: Many scientific and engineering challenges -- ranging from personalized medicine to customized marketing recommendations -- require an understanding of treatment effect heterogeneity. In this paper, we develop a non-parametric causal forest for estimating heterogeneous treatment effects that extends Breiman's widely used random forest algorithm. In the potential outcomes framework with unconfoundedness, we show that causal forests are pointwise consistent for the true treatment effect, and have an asymptotically Gaussian and centered sampling distribution. We also discuss a practical method for constructing asymptotic confidence intervals for the true treatment effect that are centered at the causal forest estimates. Our theoretical results rely on a generic Gaussian theory for a large family of random forest algorithms. To our knowledge, this is the first set of results that allows any type of random forest, including classification and regression forests, to be used for provably valid statistical inference. In experiments, we find causal forests to be substantially more powerful than classical methods based on nearest-neighbor matching, especially in the presence of irrelevant covariates.

Identification and Inference in Nonlinear Difference-in-Differences Models

Abstract: This paper develops an alternative approach to the widely used Difference-In-Difference (DID) method for evaluating the effects of policy changes. In contrast to the standard approach, we introduce a nonlinear model that permits changes over time in the effect of unobservables (e.g., there may be a time trend in the level of wages as well as the returns to skill in the labor market). Further, our assumptions are independent of the scaling of the outcome. Our approach provides an estimate of the entire counterfactual distribution of outcomes that would have been experienced by the treatment group in the absence of the treatment, and likewise for the untreated group in the presence of the treatment. Thus, it enables the evaluation of policy interventions according to criteria such as a mean-variance tradeoff. We provide conditions under which the model is nonparametrically identified and propose an estimator. We consider extensions to allow for covariates and discrete dependent variables. We also analyze inference, showing that our estimator is root-N consistent and asymptotically normal. Finally, we consider an application.

How Much Should We Trust Differences-In-Differences Estimates?

Abstract: Most papers that employ Differences-in-Differences estimation (DD) use many years of data and focus on serially correlated outcomes but ignore that the resulting standard errors are inconsistent. To illustrate the severity of this issue, we randomly generate placebo laws in state-level data on female wages from the Current Population Survey. For each law, we use OLS to compute the DD estimate of its “effect” as well as the standard error of this estimate. These conventional DD standard errors severely understate the standard deviation of the estimators: we find an “effect” significant at the 5 percent level for up to 45 percent of the placebo interventions. We use Monte Carlo simulations to investigate how well existing methods help solve this problem. Econometric corrections that place a specific parametric form on the time-series process do not perform well. Bootstrap (taking into account the autocorrelation of the data) works well when the number of states is large enough. Two corrections based on asymptotic approximation of the variance-covariance matrix work well for moderate numbers of states and one correction that collapses the time series information into a “pre”- and “post”-period and explicitly takes into account the effective sample size works well even for small numbers of states.

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Clinical course and risk factors for mortality of adult inpatients with COVID-19 in Wuhan, China: a retrospective cohort study

Abstract: Summary Background Since December, 2019, Wuhan, China, has experienced an outbreak of coronavirus disease 2019 (COVID-19), caused by the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2). Epidemiological and clinical characteristics of patients with COVID-19 have been reported but risk factors for mortality and a detailed clinical course of illness, including viral shedding, have not been well described. Methods In this retrospective, multicentre cohort study, we included all adult inpatients (≥18 years old) with laboratory-confirmed COVID-19 from Jinyintan Hospital and Wuhan Pulmonary Hospital (Wuhan, China) who had been discharged or had died by Jan 31, 2020. Demographic, clinical, treatment, and laboratory data, including serial samples for viral RNA detection, were extracted from electronic medical records and compared between survivors and non-survivors. We used univariable and multivariable logistic regression methods to explore the risk factors associated with in-hospital death. Findings 191 patients (135 from Jinyintan Hospital and 56 from Wuhan Pulmonary Hospital) were included in this study, of whom 137 were discharged and 54 died in hospital. 91 (48%) patients had a comorbidity, with hypertension being the most common (58 [30%] patients), followed by diabetes (36 [19%] patients) and coronary heart disease (15 [8%] patients). Multivariable regression showed increasing odds of in-hospital death associated with older age (odds ratio 1·10, 95% CI 1·03–1·17, per year increase; p=0·0043), higher Sequential Organ Failure Assessment (SOFA) score (5·65, 2·61–12·23; p Interpretation The potential risk factors of older age, high SOFA score, and d-dimer greater than 1 μg/mL could help clinicians to identify patients with poor prognosis at an early stage. Prolonged viral shedding provides the rationale for a strategy of isolation of infected patients and optimal antiviral interventions in the future. Funding Chinese Academy of Medical Sciences Innovation Fund for Medical Sciences; National Science Grant for Distinguished Young Scholars; National Key Research and Development Program of China; The Beijing Science and Technology Project; and Major Projects of National Science and Technology on New Drug Creation and Development.