LGMESep 14, 2023

On Prediction Feature Assignment in the Heckman Selection Model

arXiv:2309.08043v21 citationsh-index: 2
AI Analysis

This work addresses a specific bottleneck in econometrics and causal inference for researchers dealing with MNAR data, offering an incremental improvement over manual feature selection methods.

The paper tackles the challenge of selecting prediction features in the Heckman selection model under missing-not-at-random sample selection bias, proposing Heckman-FA as a data-driven framework that improves robustness in regression models on real-world datasets.

Under missing-not-at-random (MNAR) sample selection bias, the performance of a prediction model is often degraded. This paper focuses on one classic instance of MNAR sample selection bias where a subset of samples have non-randomly missing outcomes. The Heckman selection model and its variants have commonly been used to handle this type of sample selection bias. The Heckman model uses two separate equations to model the prediction and selection of samples, where the selection features include all prediction features. When using the Heckman model, the prediction features must be properly chosen from the set of selection features. However, choosing the proper prediction features is a challenging task for the Heckman model. This is especially the case when the number of selection features is large. Existing approaches that use the Heckman model often provide a manually chosen set of prediction features. In this paper, we propose Heckman-FA as a novel data-driven framework for obtaining prediction features for the Heckman model. Heckman-FA first trains an assignment function that determines whether or not a selection feature is assigned as a prediction feature. Using the parameters of the trained function, the framework extracts a suitable set of prediction features based on the goodness-of-fit of the prediction model given the chosen prediction features and the correlation between noise terms of the prediction and selection equations. Experimental results on real-world datasets show that Heckman-FA produces a robust regression model under MNAR sample selection bias.

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