CBPS (version 0.5)

CBPS: Covariate Balancing Propensity Score (CBPS) Estimation

Description

CBPS estimates propensity scores such that both covariate balance and prediction of treatment assignment are maximized. The method, therefore, avoids an iterative process between model fitting and balance checking and implements both simultaneously. For cross-sectional data, the method can take treatments with a control (baseline) condition and either 1, 2, or 3 distinct treatment conditions. With longitudinal data, the method returns marginal structural model weights that can be entered directly into a linear model.

Usage

CBPS(formula, data, na.action, ATT = NULL, method = "over", type="propensity", iterations = NULL, ...)
	  CBPS.fit(treat, X, ATT, X.bal = X, method, iterations, ...)
	  CBMSM.fit(treat, X, time, method, ...)

Arguments

formula

For the cross-sectional case (type="propensity"), an object of class formula (or one that can be coerced to that class): a symbolic description of the model to be fitted. For the marginal structural model (type="MSM"), a list of formulas. T

data

An optional data frame, list or environment (or object coercible by as.data.frame to a data frame) containing the variables in the model. If not found in data, the variables are taken from environment(formula), typically the environment from

na.action

A function which indicates what should happen when the data contain NAs. The default is set by the na.action setting of options, and is na.fail if that is unset.

ATT

Set to TRUE to find the average treatment effect on the treated, and FALSE to find the average treatment effect. Default is TRUE. For 3 and 4-valued treatments and class "MSM", only the ATE is available.

treat

A vector of treatment assignments.

X

A covariate matrix.

X.bal

A matrix to be balanced. Currently not accepted.

method

"over" for fitting an over-identified model that combines the propensity score and covariate balancing conditions; "exact" for fitting a model that only contains the covariate balancing conditions.

type

Either "propensity" for a single time period or "MSM" for a marginal structural model, with multiple time periods.

time

A vector giving the time period for each observation; only used for type "MSM"

iterations

An optional parameter for the maximum number of iterations for the optimization. Default is 1000 for binary and 10000 otherwise.

...

Other parameters to be passed through to optim()

Value

• coefficients
  A named vector of coefficients
• residuals
  The working residuals from the final iteration of CBPS
• fitted.values
  The fitted propensity score.
• rank
  The numeric rank of the fitted model
• family
  The family object used.
• deviance
  Minus twice the log-likelihood of the CBPS fit. Will be lower than the maximum likelihood deviance.
• weights
  The CBPS balancing weights calculated from the propensity scores.
• y
  The treatment vector used
• x
  The covariate matrix
• model
  The model frame
• converged
  Convergence value. Returned from the call to optim().
• call
  The matched call
• formula
  The formula supplied.
• data
  The data argument.
• J
  The J-statistic at convergence.
• df
  The degrees of freedom.
• var
  The covariance matrix, evaluated numerically from optim().

Details

Fits covariate balancing propensity scores.

References

Imai, Kosuke and Marc Ratkovic. Forthcoming. ``Covariate Balancing Propensity Score.'' Journal of the Royal Statistical Society, Series B (Statistical Methodology). http://imai.princeton.edu/research/CBPS.html Imai, Kosuke and Marc Ratkovic. ``Robust Estimation of Inverse Probability Weights for Marginal Structural Models.'' Unpublished Manuscript, Princeton University. http://imai.princeton.edu/research/MSM.html Fong, Christian. ``Covariate Balancing Propensity Scores for Multi-Valued Treatment Specifications.'' Unpublished Manuscript.

See Also

summary.CBPS

Examples

###
### Example: propensity score matching
###

##Load the LaLonde data
data(LaLonde)
## Estimate CBPS via logistic regression
fit <- CBPS(treat ~ age + educ + re75 + re74 + I(re75==0) + I(re74==0), data = LaLonde, ATT = TRUE)
summary(fit)
## matching via MatchIt: one to one nearest neighbor with replacement
library(MatchIt)
m.out <- matchit(treat ~ 1, distance = fitted(fit), method = "nearest", data = LaLonde, replace = TRUE)


### Example: propensity score weighting 
###
## Simulation from Kang and Shafer (2007).
set.seed(123456)
n <- 500
X <- mvrnorm(n, mu = rep(0, 4), Sigma = diag(4))
prop <- 1 / (1 + exp(X[,1] - 0.5 * X[,2] + 0.25*X[,3] + 0.1 * X[,4]))
treat <- rbinom(n, 1, prop)
y <- 210 + 27.4*X[,1] + 13.7*X[,2] + 13.7*X[,3] + 13.7*X[,4] + rnorm(n)

##Estimate CBPS with a misspecificied model
X.mis <- cbind(exp(X[,1]/2), X[,2]*(1+exp(X[,1]))^(-1)+10, (X[,1]*X[,3]/25+.6)^3, (X[,2]+X[,4]+20)^2)
fit1 <- CBPS(treat ~ X.mis, ATT = TRUE)
summary(fit1)
	
## Horwitz-Thompson estimate
mean(treat*y/fit1$fitted.values)
## Inverse probability weighting
sum(treat*y/fit1$fitted.values)/sum(treat/fit1$fitted.values)

rm(list=c("y","X","prop","treat","n","X.mis","fit1"))

### Example: Covariate Balancing Marginal Structural Model
###
## Simulation from Imai and Ratkovic (2013).


data1<-MSMdata(200)
attach(data1)
formulas.msm<-list(c(treat.1~X1, treat.2~X2, treat.3~X3))
msm1<-CBPS(formulas.msm,method="over",type="MSM")

#Unweighted model
lm1<-lm(y~treat.1+treat.2+treat.3)
summary(lm1)

#CBMSM weighted model
lm2<-lm(y~treat.1+treat.2+treat.3,weights=msm1$weights)
summary(lm2)

detach(data1)



### Example: Covariate Balancing Propensity Score - 3 Treatments
##

set.seed(1)
library(MASS)
X<-cbind(1,mvrnorm(1000,c(0,0,0), Sigma=matrix(c(5,.5,-.03,.5,1,-.27,-.03,-.27,1),3,3)))
beta<-matrix(rnorm(8),4,2)
prob<-cbind((1+exp(X				 exp(X				 exp(XX<-X[,2:4]
treat.latent<-runif(1000)
treat<-ifelse(treat.latent < prob[,1], 1, ifelse(treat.latent < (prob[,1] + prob[,2]), 2, 3))
fit3<-CBPS(treat ~ X, ATT = FALSE)