Causal Inference for Observational Time-Series with Encoder-Decoder Networks

12/10/2017

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by   Jason Poulos, et al.

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This paper proposes a method for estimating the causal effect of a discrete intervention in observational time-series data using encoder-decoder recurrent neural networks (RNNs). Encoder-decoder networks, which are special class of RNNs suitable for handling variable-length sequential data, are used to predict a counterfactual time-series of treated unit outcomes. The proposed method does not rely on pretreatment covariates and encoder-decoder networks are capable of learning nonconvex combinations of control unit outcomes to construct a counterfactual. To demonstrate the proposed method, I extend a field experiment studying the effect of radio advertisements on electoral competition to observational time-series.