# Double Machine Learning for Sample Selection Models dml_ssm = function(data, y, d, z, s, n_folds, ml_pi, ml_m, ml_g, dml_procedure, score, n_rep = 1, smpls = NULL, trimming_threshold = 1e-12, normalize_ipw = FALSE, params_pi = NULL, params_m = NULL, params_g = NULL) { if (is.null(smpls)) { smpls = lapply(1:n_rep, function(x) sample_splitting(n_folds, data)) } all_thetas = all_ses = rep(NA_real_, n_rep) all_preds = list() for (i_rep in 1:n_rep) { this_smpl = smpls[[i_rep]] train_ids = this_smpl$train_ids test_ids = this_smpl$test_ids all_preds[[i_rep]] = fit_nuisance_ssm( data, y, d, z, s, ml_pi, ml_m, ml_g, this_smpl, score, params_pi, params_m, params_g ) res = extract_ssm_preds(data = data, n_folds = n_folds, smpls = this_smpl, all_preds = all_preds[[i_rep]], trimming_threshold = trimming_threshold ) pi_hat = res$pi_hat m_hat = res$m_hat g_hat_d0 = res$g_hat_d0 g_hat_d1 = res$g_hat_d1 Y = data[, y] D = data[, d] S = data[, s] # DML 1 if (dml_procedure == "dml1") { thetas = vars = rep(NA_real_, n_folds) psi_a = rep(NA_real_, length(data$d)) psi_b = rep(NA_real_, length(data$d)) for (i in 1:n_folds) { test_index = test_ids[[i]] orth_est = orth_ssm_dml( pi_hat = pi_hat[test_index], m_hat = m_hat[test_index], g_hat_d0 = g_hat_d0[test_index], g_hat_d1 = g_hat_d1[test_index], y = Y[test_index], d = D[test_index], s = S[test_index], score = score, normalize_ipw = normalize_ipw ) thetas[i] = -mean(orth_est$psi_b) / mean(orth_est$psi_a) psi_a[test_index] = orth_est$psi_a psi_b[test_index] = orth_est$psi_b } all_thetas[i_rep] = mean(thetas, na.rm = TRUE) if (length(train_ids) == 1) { pi_hat = pi_hat[test_index] m_hat = m_hat[test_index] g_hat_d0 = g_hat_d0[test_index] g_hat_d1 = g_hat_d1[test_index] y = Y[test_index] d = D[test_index] s = S[test_index] } } # DML2 if (dml_procedure == "dml2") { orth_est = orth_ssm_dml( pi_hat = pi_hat, m_hat = m_hat, g_hat_d0 = g_hat_d0, g_hat_d1 = g_hat_d1, y = data[, y], d = data[, d], s = data[, s], score = score, normalize_ipw = normalize_ipw ) psi_a = orth_est$psi_a psi_b = orth_est$psi_b all_thetas[i_rep] = -mean(psi_b) / mean(psi_a) } all_ses[i_rep] = sqrt(var_ssm( theta = all_thetas[i_rep], psi_a = psi_a, psi_b = psi_b, d = D )) } theta = stats::median(all_thetas) if (length(this_smpl$train_ids) > 1) { n = nrow(data) } else { n = length(this_smpl$test_ids[[1]]) } se = se_repeated(all_ses * sqrt(n), all_thetas, theta) / sqrt(n) t = theta / se pval = 2 * stats::pnorm(-abs(t)) names(theta) = names(se) = d res = list( coef = theta, se = se, t = t, pval = pval, thetas = all_thetas, ses = all_ses, all_preds = all_preds, smpls = smpls ) return(res) } fit_nuisance_ssm = function(data, y, d, z, s, ml_pi, ml_m, ml_g, this_smpl, score = score, params_pi, params_m, params_g) { if (score == "missing-at-random") { train_ids = this_smpl$train_ids test_ids = this_smpl$test_ids # nuisance pi pi_indx = names(data) != y data_pi = data[, pi_indx, drop = FALSE] data_pi[, s] = factor(data_pi[, s]) task_pi = mlr3::TaskClassif$new( id = paste0("nuis_pi_", s), backend = data_pi, target = s, positive = "1" ) resampling_pi = mlr3::rsmp("custom") resampling_pi$instantiate(task_pi, train_ids, test_ids) if (!is.null(params_pi)) { ml_pi$param_set$values = params_pi } r_pi = mlr3::resample(task_pi, ml_pi, resampling_pi, store_models = TRUE) pi_hat_list = lapply(r_pi$predictions(), function(x) x$prob[, "1"]) # nuisance m m_indx = names(data) != y & names(data) != s data_m = data[, m_indx, drop = FALSE] data_m[, d] = factor(data_m[, d]) task_m = mlr3::TaskClassif$new( id = paste0("nuis_m_", d), backend = data_m, target = d, positive = "1" ) resampling_m = mlr3::rsmp("custom") resampling_m$instantiate(task_m, train_ids, test_ids) if (!is.null(params_m)) { ml_m$param_set$values = params_m } r_m = mlr3::resample(task_m, ml_m, resampling_m, store_models = TRUE) m_hat_list = lapply(r_m$predictions(), function(x) x$prob[, "1"]) # nuisance g_d0 train_ids_d0_s1 = lapply(seq_len(length(train_ids)), function(x) { train_ids[[x]][data$d[train_ids[[x]]] == 0 & data$s[train_ids[[x]]] == 1] }) train_ids_d1_s1 = lapply(seq_len(length(train_ids)), function(x) { train_ids[[x]][data$d[train_ids[[x]]] == 1 & data$s[train_ids[[x]]] == 1] }) g_indx = names(data) != d & names(data) != s data_g = data[, g_indx, drop = FALSE] task_g_d0 = mlr3::TaskRegr$new(id = paste0("nuis_g_d0_", y), backend = data_g, target = y) ml_g_d0 = ml_g$clone() if (!is.null(params_g)) { ml_g_d0$param_set$values = params_g } resampling_g_d0 = mlr3::rsmp("custom") resampling_g_d0$instantiate(task_g_d0, train_ids_d0_s1, test_ids) r_g_d0 = mlr3::resample(task_g_d0, ml_g_d0, resampling_g_d0, store_models = TRUE) g_hat_d0_list = lapply(r_g_d0$predictions(), function(x) x$response) # nuisance g_d1 task_g_d1 = mlr3::TaskRegr$new(id = paste0("nuis_g_d1_", y), backend = data_g, target = y) ml_g_d1 = ml_g$clone() if (!is.null(params_g)) { ml_g_d1$param_set$values = params_g } resampling_g_d1 = mlr3::rsmp("custom") resampling_g_d1$instantiate(task_g_d1, train_ids_d1_s1, test_ids) r_g_d1 = mlr3::resample(task_g_d1, ml_g_d1, resampling_g_d1, store_models = TRUE) g_hat_d1_list = lapply(r_g_d1$predictions(), function(x) x$response) } else { # nonignorable pi_hat_list = list() m_hat_list = list() g_hat_d0_list = list() g_hat_d1_list = list() data$strata = data$d + 2 * data$s n_folds = length(this_smpl$train_ids) for (i_fold in 1:n_folds) { train_ids = this_smpl$train_ids[[i_fold]] test_ids = this_smpl$test_ids[[i_fold]] # split train_ids into 2 sets dummy_train_task = Task$new("dummy", "regr", data) dummy_train_task$set_col_roles("strata", c("target", "stratum")) dummy_train_resampling = rsmp("holdout", ratio = 0.5)$instantiate(dummy_train_task$filter(train_ids)) train1 = dummy_train_resampling$train_set(1) train2 = dummy_train_resampling$test_set(1) # nuisance pi_prelim and pi pi_indx = names(data) != y & names(data) != "strata" & names(data) != "pi_hat_prelim" data_pi = data[, pi_indx, drop = FALSE] data_pi[, s] = factor(data_pi[, s]) task_pi_prelim = mlr3::TaskClassif$new( id = paste0("nuis_pi_", s), backend = data_pi, target = s, positive = "1" ) resampling_pi_prelim = mlr3::rsmp("custom") resampling_pi_prelim$instantiate(task_pi_prelim, list(train1), list(1:nrow(data))) ml_pi_prelim = ml_pi$clone() if (!is.null(params_pi)) { ml_pi_prelim$param_set$values = params_pi } r_pi_prelim = mlr3::resample(task_pi_prelim, ml_pi_prelim, resampling_pi_prelim, store_models = TRUE) preds_pi_hat_prelim = r_pi_prelim$predictions()[[1]]$prob[, "1"] data$pi_hat_prelim = preds_pi_hat_prelim pi_hat_list[[i_fold]] = preds_pi_hat_prelim[test_ids] # nuisance m m_indx = names(data) != y & names(data) != s & names(data) != z & names(data) != "strata" data_m = data[, m_indx, drop = FALSE] data_m[, d] = factor(data_m[, d]) task_m = mlr3::TaskClassif$new( id = paste0("nuis_m_", d), backend = data_m, target = d, positive = "1" ) resampling_m = mlr3::rsmp("custom") resampling_m$instantiate(task_m, list(train2), list(test_ids)) if (!is.null(params_m)) { ml_m$param_set$values = params_m } r_m = mlr3::resample(task_m, ml_m, resampling_m, store_models = TRUE) m_hat_list[[i_fold]] = r_m$predictions()[[1]]$prob[, "1"] # nuisance g_d0 train2_d0_s1 = train2[data[train2, ]$d == 0 & data[train2, ]$s == 1] g_indx = names(data) != d & names(data) != s & names(data) != z & names(data) != "strata" data_g = data[, g_indx, drop = FALSE] task_g_d0 = mlr3::TaskRegr$new(id = paste0("nuis_g_d0_", y), backend = data_g, target = y) ml_g_d0 = ml_g$clone() if (!is.null(params_g)) { ml_g_d0$param_set$values = params_g } resampling_g_d0 = mlr3::rsmp("custom") resampling_g_d0$instantiate(task_g_d0, list(train2_d0_s1), list(test_ids)) r_g_d0 = mlr3::resample(task_g_d0, ml_g_d0, resampling_g_d0, store_models = TRUE) g_hat_d0_list[[i_fold]] = r_g_d0$predictions()[[1]]$response # nuisance g_d1 train2_d1_s1 = train2[data[train2, ]$d == 1 & data[train2, ]$s == 1] task_g_d1 = mlr3::TaskRegr$new(id = paste0("nuis_g_d1_", y), backend = data_g, target = y) ml_g_d1 = ml_g$clone() if (!is.null(params_g)) { ml_g_d1$param_set$values = params_g } resampling_g_d1 = mlr3::rsmp("custom") resampling_g_d1$instantiate(task_g_d1, list(train2_d1_s1), list(test_ids)) r_g_d1 = mlr3::resample(task_g_d1, ml_g_d1, resampling_g_d1, store_models = TRUE) g_hat_d1_list[[i_fold]] = r_g_d1$predictions()[[1]]$response } } all_preds = list( pi_hat_list = pi_hat_list, m_hat_list = m_hat_list, g_hat_d0_list = g_hat_d0_list, g_hat_d1_list = g_hat_d1_list ) return(all_preds) } extract_ssm_preds = function(data, n_folds, smpls, all_preds, trimming_threshold) { test_ids = smpls$test_ids pi_hat_list = all_preds$pi_hat_list m_hat_list = all_preds$m_hat_list g_hat_d0_list = all_preds$g_hat_d0_list g_hat_d1_list = all_preds$g_hat_d1_list n = nrow(data) pi_hat = m_hat = g_hat_d0 = g_hat_d1 = rep(NA_real_, n) for (i in 1:n_folds) { test_index = test_ids[[i]] pi_hat[test_index] = pi_hat_list[[i]] m_hat[test_index] = m_hat_list[[i]] g_hat_d0[test_index] = g_hat_d0_list[[i]] g_hat_d1[test_index] = g_hat_d1_list[[i]] } m_hat = trim_vec(m_hat, trimming_threshold) res = list( pi_hat = pi_hat, m_hat = m_hat, g_hat_d0 = g_hat_d0, g_hat_d1 = g_hat_d1 ) return(res) } # Orthogonalized estimation of coefficient in SSM orth_ssm_dml = function(pi_hat, m_hat, g_hat_d0, g_hat_d1, y, d, s, score, normalize_ipw) { dtreat = (d == 1) dcontrol = (d == 0) if (score == "missing-at-random" | score == "nonignorable") { psi_a = -1 if (normalize_ipw == TRUE) { weight_treat = sum(dtreat) / sum((dtreat * s) / (pi_hat * m_hat)) weight_control = sum(dcontrol) / sum((dcontrol * s) / (pi_hat * (1 - m_hat))) psi_b1 = weight_treat * ((dtreat * s * (y - g_hat_d1)) / (m_hat * pi_hat)) + g_hat_d1 psi_b0 = weight_control * ((dcontrol * s * (y - g_hat_d0)) / ((1 - m_hat) * pi_hat)) + g_hat_d0 } else { psi_b1 = (dtreat * s * (y - g_hat_d1)) / (m_hat * pi_hat) + g_hat_d1 psi_b0 = (dcontrol * s * (y - g_hat_d0)) / ((1 - m_hat) * pi_hat) + g_hat_d0 } psi_b = psi_b1 - psi_b0 } else { stop("Inference framework for orthogonal estimation unknown") } res = list(psi_a = psi_a, psi_b = psi_b) return(res) } # Variance estimation for DML estimator in SSM var_ssm = function(theta, psi_a, psi_b, d) { n = length(d) J = mean(psi_a) var = mean((psi_a * theta + psi_b)^2) / J^2 / n return(c(var)) } # Bootstrap Implementation for SSM bootstrap_ssm = function(theta, se, data, y, d, s, n_folds, smpls, all_preds, score, bootstrap, n_rep_boot, n_rep = 1, trimming_threshold = 1e-12, normalize_ipw = FALSE) { for (i_rep in 1:n_rep) { res = extract_ssm_preds(data = data, n_folds = n_folds, smpls = smpls[[i_rep]], all_preds = all_preds[[i_rep]], trimming_threshold = trimming_threshold) pi_hat = res$pi_hat m_hat = res$m_hat g_hat_d0 = res$g_hat_d0 g_hat_d1 = res$g_hat_d1 y = data[, "y"] d = data[, "d"] s = data[, "s"] dtreat = (d == 1) dcontrol = (d == 0) psi_a = rep(-1, length(d)) if (normalize_ipw == TRUE) { weight_treat = sum(dtreat) / sum((dtreat * s) / (pi_hat * m_hat)) weight_control = sum(dcontrol) / sum((dcontrol * s) / (pi_hat * (1 - m_hat))) psi_b1 = weight_treat * ((dtreat * s * (y - g_hat_d1)) / (m_hat * pi_hat)) + g_hat_d1 psi_b0 = weight_control * ((dcontrol * s * (y - g_hat_d0)) / ((1 - m_hat) * pi_hat)) + g_hat_d0 } else { psi_b1 = (dtreat * s * (y - g_hat_d1)) / (m_hat * pi_hat) + g_hat_d1 psi_b0 = (dcontrol * s * (y - g_hat_d0)) / ((1 - m_hat) * pi_hat) + g_hat_d0 } psi_b = psi_b1 - psi_b0 psi = psi_a * theta[i_rep] + psi_b n = length(psi) weights = draw_bootstrap_weights(bootstrap, n_rep_boot, n) this_res = functional_bootstrap( theta[i_rep], se[i_rep], psi, psi_a, n_folds, smpls[[i_rep]], n_rep_boot, weights ) if (i_rep == 1) { boot_res = this_res } else { boot_res$boot_coef = cbind(boot_res$boot_coef, this_res$boot_coef) boot_res$boot_t_stat = cbind(boot_res$boot_t_stat, this_res$boot_t_stat) } } return(boot_res) }