Making Sense of Sensitivity: Extending Omitted Variable Bias

Vincent Arel-Bundock
2021-01-22

Cinelli and Hazlett (2020) ask: How strong do omitted confounders have to be in order to change our coefficient estimate by q%? To answer this question, we start with a familiar setup, where we want to estimate the effect of treatment \(D\) on outcome \(Y\) in the presence of confounder \(Z\). The true model is:

\[ Y = \tau D + X\beta + \gamma Z + \varepsilon \]

The omitted variable bias formula is well-known in the ordinary least squares context:

\[ \hat{\tau}_{res} = \hat{\tau} + \hat{\gamma}\hat{\delta}, \]

where \(\hat{\tau}_{res}\) is the observed estimate; \(\hat{\tau}\) is the desired estimate; \(\hat{\gamma}\) is a measure of the association between the omitted \(Z\) and \(Y\) (“impact”); and \(\hat{\delta}\) is a measure of the association between the omitted \(Z\) and the treatment \(D\) (“imbalance”).

The equivalence above can be seen in a simple simulation:

library(modelsummary)

N = 10000
Z = rbinom(N, 1, prob = .5)
D = rbinom(N, 1, prob = .8 - .6 * Z)
Y = 1 * D + 3 * Z + rnorm(N)

mod = list(
  "Correct" = lm(Y ~ D + Z),
  "Confounded" = lm(Y ~ D),
  "Auxiliary" = lm(Z ~ D))

coef(mod$Confounded)["D"] 
         D 
-0.7857034 
coef(mod$Correct)["D"] + coef(mod$Correct)["Z"] * coef(mod$Auxiliary)["D"]
         D 
-0.7857034 
modelsummary(mod, gof_omit = ".*")
Correct Confounded Auxiliary
(Intercept) -0.021 2.384 0.800
(0.025) (0.022) (0.006)
D 1.022 -0.786 -0.601
(0.025) (0.031) (0.008)
Z 3.009
(0.025)

Knowing the signs of the bias components can be useful, but the magnitudes of \(\gamma\) and \(\delta\) obviously matter as well. Moreover, the omitted variable bias formula with one confounder is of limited use when several confounders act together, possibly in non-linear fashion.

To assess how strong all omitted confounders need to be to overturn our conclusions, Cinelli and Hazlett (2020) recommend reparameterizing the bias in terms of partial \(R^2\). They show that our simple expression of the bias can be generalized and expressed as:

\[ |\widehat{bias}|= \sqrt{ \left ( \frac{R^2_{Y\sim Z|D,X} R^2_{D\sim ~Z|X}}{1 - R^2_{D\sim Z|X}} \right )} \frac{sd(Y^{\perp X,D})}{sd(D^{\perp X})} \]

where \(R^2_{Y\sim Z|D,X}\) et al. represent partial \(R^2\) values.

The above equation would be sufficient to conduct a full sensitivity analysis, but it is often convenient to report a single “Robustness Value.” To simplify the interpretation, the authors consider a critical case where the strength of the impact (effect of Z on Y) and the strength of the imbalance (effect of Z on D) are equal. This allows them to define a simple Robustness Value:

\[ RV_q = \frac{1}{2} \left \{ \sqrt{(f_q^4 + 4f_q^2)} - f_q^2 \right \} \]

In this equation, \(f_q:=q|f_{Y\sim D|X}|\), where \(f_{Y\sim D|X}\) represents the partial Cohen’s \(f\) of the treatment with the outcome,1 and \(q\) is “the proportion of reduction q on the treatment coefficient which would be deemed problematic.”

The interpretation is quite straightforward:

“Confounders that explain \(RV_q\)% both of the treatment and of the outcome are sufficiently strong to change the point estimate in problematic ways, whereas confounders with neither association greater than \(RV_q\)% are not.”

If \(RV_q\) is close to 1, the estimate can sustain confounding: the counfounders would need to explain nearly 100% of both the treatment and the outcome to be problematic. In contrast, if \(RV_q\) is close to 0, then our estimate cannot sustain confounding.

In R, we can calculate \(RV_q\) like this:

library(broom)

get_RV = function(mod, treatment = "D", q = 1) {
  ti = tidy(mod)
  gl = glance(mod)
  tvalue = ti$statistic[ti$term == treatment]
  df = gl$df.residual
  fq = abs(tvalue / sqrt(df)) * q
  RV = 1/2 * (sqrt(fq^4 + 4 * fq^2) - fq^2)
  RV
}

For example, the \(RV_1\) for the confounded model that we estimated at the top of this notebook is:

get_RV(mod$Confounded, treatment = "D", q = 1)
[1] 0.2214727

Confounders which explain 22% of both \(X\) and \(Z\) are sufficiently strong to change the estimated treatment effect by 100%.

The \(RV_{1/4}\) is:

get_RV(mod$Confounded, treatment = "D", q = .25)
[1] 0.06081338

Confounders which explain 6% of both \(X\) and \(Z\) are sufficiently strong to change the estimated treatment effect by 25%.

The sensemakr package allows us to compute \(RV_q\) easily, without having to cook up our own functions:

library(sensemakr)

s = sensemakr(mod$Confounded, treatment = "D", q = .25)

s
Sensitivity Analysis to Unobserved Confounding

Model Formula: Y ~ D

Null hypothesis: q = 0.25 and reduce = TRUE 

Unadjusted Estimates of ' D ':
  Coef. estimate: -0.7857 
  Standard Error: 0.03131 
  t-value: -6.27451 

Sensitivity Statistics:
  Partial R2 of treatment with outcome: 0.05927 
  Robustness Value, q = 0.25 : 0.06081 
  Robustness Value, q = 0.25 alpha = 0.05 : 0.04223 

For more information, check summary.

As stated above, \(RV_q\) characterizes the special, critical case where the impact and imbalance are equal. To see what happens for different combinations of impact and imbalance, the sensemakr package allows us to draw nice contour plots. The red line shows us the combinations of confounding magnitude that would allow a change of 25% in the estimate (as determined by the q argument in the sensemakr call above).

plot(s)

Cinelli, Carlos, and Chad Hazlett. 2020. “Making Sense of Sensitivity: Extending Omitted Variable Bias.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 82 (1): 39–67. https://doi.org/10.1111/rssb.12348.

  1. This can be computed by dividing coefficient t-value by \(\sqrt{df}\)↩︎

References