Precise unbiased estimation in randomized experiments using auxiliary observational data
Johann A. Gagnon-Bartsch, Adam Sales, Edward Ming‐Yang Wu, Anthony F. Botelho, John A. Erickson, Luke Miratrix, Neil T. Heffernan
Abstract
Abstract Randomized controlled trials (RCTs) admit unconfounded design-based inference – randomization largely justifies the assumptions underlying statistical effect estimates – but often have limited sample sizes. However, researchers may have access to big observational data on covariates and outcomes from RCT nonparticipants. For example, data from A/B tests conducted within an educational technology platform exist alongside historical observational data drawn from student logs. We outline a design-based approach to using such observational data for variance reduction in RCTs. First, we use the observational data to train a machine learning algorithm predicting potential outcomes using covariates and then use that algorithm to generate predictions for RCT participants. Then, we use those predictions, perhaps alongside other covariates, to adjust causal effect estimates with a flexible, design-based covariate-adjustment routine. In this way, there is no danger of biases from the observational data leaking into the experimental estimates, which are guaranteed to be exactly unbiased regardless of whether the machine learning models are “correct” in any sense or whether the observational samples closely resemble RCT samples. We demonstrate the method in analyzing 33 randomized A/B tests and show that it decreases standard errors relative to other estimators, sometimes substantially.