First Course Ding: Chapter 12

Doubly robust estimation of the average treatment effect

The original notebook compares regression adjustment, inverse-probability weighting, and doubly robust estimation across misspecification cases. This version keeps the same logic but builds the nuisance fits with crabbymetrics.

Show code 
from pathlib import Path

import numpy as np
import pandas as pd

import crabbymetrics as cm

np.set_printoptions(precision=4, suppress=True)


def repo_root():
    for candidate in [Path.cwd().resolve(), *Path.cwd().resolve().parents]:
        if (candidate / "ding_w_source").exists():
            return candidate
    raise FileNotFoundError("could not locate ding_w_source from the current working directory")


def expit(x):
    return 1.0 / (1.0 + np.exp(-x))


def linear_basis(x):
    return x


def rich_basis(x):
    x1 = x[:, 0]
    x2 = x[:, 1]
    return np.column_stack([x1, x2, x1**2, x2**2, x1 * x2, np.sin(x1)])


def fit_binary_logit(x, d):
    model = cm.Logit(alpha=1.0, max_iterations=300)
    model.fit(x, d.astype(np.int32))
    summary = model.summary()
    return expit(summary["intercept"] + x @ np.asarray(summary["coef"]))


def fit_outcome_regression(x, y, d):
    treated = d == 1
    control = d == 0

    mod1 = cm.OLS()
    mod1.fit(x[treated], y[treated])
    mod0 = cm.OLS()
    mod0.fit(x[control], y[control])

    return mod1.predict(x), mod0.predict(x)


def manual_estimators(y, d, x_outcome, x_pscore):
    pi_hat = np.clip(fit_binary_logit(x_pscore, d), 0.02, 0.98)
    mu1_hat, mu0_hat = fit_outcome_regression(x_outcome, y, d)

    reg = float(np.mean(mu1_hat - mu0_hat))
    ht_ipw = float(np.mean(d * y / pi_hat - (1 - d) * y / (1 - pi_hat)))
    hajek_ipw = float(
        np.mean(d * y / pi_hat) / np.mean(d / pi_hat)
        - np.mean((1 - d) * y / (1 - pi_hat)) / np.mean((1 - d) / (1 - pi_hat))
    )
    aipw = float(
        np.mean(
            mu1_hat
            - mu0_hat
            + d * (y - mu1_hat) / pi_hat
            - (1 - d) * (y - mu0_hat) / (1 - pi_hat)
        )
    )
    return reg, ht_ipw, hajek_ipw, aipw


def simulate_one(seed, outcome_correct, pscore_correct):
    rng = np.random.default_rng(seed)
    n = 700
    x = rng.normal(size=(n, 2))
    x1 = x[:, 0]
    x2 = x[:, 1]

    pi_true = expit(-0.2 + 0.8 * x1 - 0.7 * x2 + 0.6 * x1 * x2 - 0.4 * x1**2)
    d = rng.binomial(1, pi_true, size=n).astype(float)
    y0 = 1.0 + 0.7 * x1 - 0.6 * x2 + 0.8 * x1 * x2 + 0.5 * x1**2 + rng.normal(scale=0.7, size=n)
    tau = 1.0
    y = y0 + tau * d

    x_outcome = rich_basis(x) if outcome_correct else linear_basis(x)
    x_pscore = rich_basis(x) if pscore_correct else linear_basis(x)
    penalty_grid = np.logspace(-4, 2, 20)

    reg, ht_ipw, hajek_ipw, aipw = manual_estimators(y, d, x_outcome, x_pscore)
    native = cm.AIPW(penalty=penalty_grid, cv=2, n_folds=2, seed=seed)
    native.fit(y, d, x_pscore)
    native_ate = float(native.summary()["ate"])

    return np.array([tau, reg, ht_ipw, hajek_ipw, aipw, native_ate])

1 Four Misspecification Cases

Show code 
regimes = [
    ("Both correct", True, True),
    ("Bad propensity only", True, False),
    ("Bad outcome only", False, True),
    ("Both bad", False, False),
]

method_names = ["Outcome regression", "HT-IPW", "Hajek IPW", "Manual AIPW", "Cross-fit AIPW"]
for i, (label, outcome_ok, pscore_ok) in enumerate(regimes):
    draws = np.vstack([simulate_one(20260410 + 500 * i + rep, outcome_ok, pscore_ok) for rep in range(40)])
    truth = draws[:, 0]
    estimates = draws[:, 1:]

    print(label)
    for j, method in enumerate(method_names):
        bias = float(np.mean(estimates[:, j] - truth))
        rmse = float(np.sqrt(np.mean((estimates[:, j] - truth) ** 2)))
        print(f"  {method:18s} bias = {bias: .4f}, rmse = {rmse: .4f}")
Both correct
  Outcome regression bias = -0.0067, rmse =  0.0718
  HT-IPW             bias =  0.7499, rmse =  1.5241
  Hajek IPW          bias =  1.8790, rmse =  1.9059
  Manual AIPW        bias =  0.0002, rmse =  0.1156
  Cross-fit AIPW     bias =  0.0261, rmse =  0.1086
Bad propensity only
  Outcome regression bias = -0.0070, rmse =  0.0686
  HT-IPW             bias =  0.1443, rmse =  0.4856
  Hajek IPW          bias =  1.3588, rmse =  1.3727
  Manual AIPW        bias = -0.0062, rmse =  0.0677
  Cross-fit AIPW     bias =  0.1301, rmse =  0.2250
Bad outcome only
  Outcome regression bias =  0.1036, rmse =  0.1550
  HT-IPW             bias =  1.1630, rmse =  1.6582
  Hajek IPW          bias =  1.9952, rmse =  2.0251
  Manual AIPW        bias =  0.3950, rmse =  0.8207
  Cross-fit AIPW     bias =  0.0030, rmse =  0.1078
Both bad
  Outcome regression bias =  0.0670, rmse =  0.1397
  HT-IPW             bias =  0.2790, rmse =  0.6060
  Hajek IPW          bias =  1.3839, rmse =  1.4058
  Manual AIPW        bias =  0.1691, rmse =  0.2252
  Cross-fit AIPW     bias =  0.0989, rmse =  0.1876

2 A Native AIPW Check On One Sample

Show code 
data = pd.read_csv(repo_root() / "ding_w_source" / "repl" / "nhanes_bmi.csv")
y = data["BMI"].to_numpy(dtype=float)
d = data["School_meal"].to_numpy(dtype=float)
x = data[["age", "ChildSex", "black", "mexam", "pir200_plus", "WIC", "Food_Stamp", "AnyIns", "RefAge"]].to_numpy(dtype=float)
x = (x - x.mean(axis=0)) / np.where(x.std(axis=0) > 1e-12, x.std(axis=0), 1.0)

reg, ht_ipw, hajek_ipw, aipw = manual_estimators(y, d, x, x)
penalty_grid = np.logspace(-4, 2, 20)
native = cm.AIPW(penalty=penalty_grid, cv=2, n_folds=2, seed=12)
native.fit(y, d, x)

print("NHANES outcome-regression ATE:", round(reg, 4))
print("NHANES HT-IPW ATE:", round(ht_ipw, 4))
print("NHANES Hajek-IPW ATE:", round(hajek_ipw, 4))
print("NHANES manual AIPW ATE:", round(aipw, 4))
print("NHANES native cross-fit AIPW ATE:", round(float(native.summary()["ate"]), 4))
NHANES outcome-regression ATE: -0.0316
NHANES HT-IPW ATE: -1.4006
NHANES Hajek-IPW ATE: -0.1588
NHANES manual AIPW ATE: -0.0183
NHANES native cross-fit AIPW ATE: 0.0843

The chapter’s basic lesson survives the translation: doubly robust scores are far harder to break than pure regression adjustment or pure weighting, and the current library’s AIPW class is the high-level version of that same logic. The key implementation detail here is that the ridge nuisances are tuned over a penalty grid rather than forced to share a single hand-picked regularization level.