Treatment Effect Risk: Bounds and Inference
This addresses the risk assessment problem in causal inference for policymakers and researchers, providing a method to quantify potential harms to vulnerable groups, though it is incremental in extending existing bounds to CVaR with new inference techniques.
The paper tackles the problem of assessing the risk of negative treatment effects on subpopulations, formalized as the conditional value at risk (CVaR) of individual treatment effects, by deriving tight bounds based on covariate-conditional average treatment effects and developing a debiasing method for estimation and inference, with an application showing a small social benefit can mask a negative impact on a substantial subpopulation.
Since the average treatment effect (ATE) measures the change in social welfare, even if positive, there is a risk of negative effect on, say, some 10% of the population. Assessing such risk is difficult, however, because any one individual treatment effect (ITE) is never observed, so the 10% worst-affected cannot be identified, while distributional treatment effects only compare the first deciles within each treatment group, which does not correspond to any 10%-subpopulation. In this paper we consider how to nonetheless assess this important risk measure, formalized as the conditional value at risk (CVaR) of the ITE-distribution. We leverage the availability of pre-treatment covariates and characterize the tightest-possible upper and lower bounds on ITE-CVaR given by the covariate-conditional average treatment effect (CATE) function. We then proceed to study how to estimate these bounds efficiently from data and construct confidence intervals. This is challenging even in randomized experiments as it requires understanding the distribution of the unknown CATE function, which can be very complex if we use rich covariates so as to best control for heterogeneity. We develop a debiasing method that overcomes this and prove it enjoys favorable statistical properties even when CATE and other nuisances are estimated by black-box machine learning or even inconsistently. Studying a hypothetical change to French job-search counseling services, our bounds and inference demonstrate a small social benefit entails a negative impact on a substantial subpopulation.