Penalized regression adjusted causal effect estimates in high dimensional randomized experiments
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Regression adjustments are often considered by investigators to improve the estimation efficiency of causal effect in randomized experiments when there exists many pre-experiment covariates. In this paper, we provide conditions that guarantee the penalized regression including the Ridge, Elastic Net and Adapive Lasso adjusted causal effect estimators are asymptotic normal and we show that their asymptotic variances are no greater than that of the simple difference-in-means estimator, as long as the penalized estimators are risk consistent. We also provide conservative estimators for the asymptotic variance which can be used to construct asymptotically conservative confidence intervals for the average causal effect (ACE). Our results are obtained under the Neyman-Rubin potential outcomes model of randomized experiment when the number of covariates is large. Simulation study shows the advantages of the penalized regression adjusted ACE estimators over the difference-in-means estimator.
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