Nonlinear Regression with Residuals: Causal Estimation with Time-varying Treatments and Covariates
Standard regression adjustment gives inconsistent estimates of causal effects when there are time-varying treatment effects and time-varying covariates. Loosely speaking, the issue is that some covariates are post-treatment variables because they may be affected by prior treatment status, and regressing out post-treatment variables causes bias. More precisely, the bias is due to certain non-confounding latent variables that create colliders in the causal graph. These latent variables, which we call phantoms, do not harm the identifiability of the causal effect, but they render naive regression estimates inconsistent. Motivated by this, we ask: how can we modify regression methods so that they hold up even in the presence of phantoms? We develop an estimator for this setting based on regression modeling (linear, log-linear, probit and Cox regression), proving that it is consistent for a reasonable causal estimand. In particular, the estimator is a regression model fit with a simple adjustment for collinearity, making it easy to understand and implement with standard regression software. The proposed estimators are instances of the parametric g-formula, extending the regression-with-residuals approach to several canonical nonlinear models.