Collaborative-controlled LASSO for constructing propensity score-based estimators in high-dimensional data.

Propensity score-based estimators are increasingly used for causal inference in observational studies. However, model selection for propensity score estimation in high-dimensional data has received little attention. In these settings, propensity score models have traditionally been selected based on the goodness-of-fit for the treatment mechanism itself, without consideration of the causal parameter of interest. Collaborative minimum loss-based estimation is a novel methodology for causal inference that takes into account information on the causal parameter of interest when selecting a propensity score model. This "collaborative learning" considers variable associations with both treatment and outcome when selecting a propensity score model in order to minimize a bias-variance tradeoff in the estimated treatment effect. In this study, we introduce a novel approach for collaborative model selection when using the LASSO estimator for propensity score estimation in high-dimensional covariate settings. To demonstrate the importance of selecting the propensity score model collaboratively, we designed quasi-experiments based on a real electronic healthcare database, where only the potential outcomes were manually generated, and the treatment and baseline covariates remained unchanged. Results showed that the collaborative minimum loss-based estimation algorithm outperformed other competing estimators for both point estimation and confidence interval coverage. In addition, the propensity score model selected by collaborative minimum loss-based estimation could be applied to other propensity score-based estimators, which also resulted in substantive improvement for both point estimation and confidence interval coverage. We illustrate the discussed concepts through an empirical example comparing the effects of non-selective nonsteroidal anti-inflammatory drugs with selective COX-2 inhibitors on gastrointestinal complications in a population of Medicare beneficiaries.