Propensity Score Weighting Using Generalized Linear Models

This page explains the details of estimating weights from generalized linear model-based propensity scores by setting method = "glm" in the call to weightit() or weightitMSM(). This method can be used with binary, multi-category, and continuous treatments.

In general, this method relies on estimating propensity scores with a parametric generalized linear model and then converting those propensity scores into weights using a formula that depends on the desired estimand. For binary and multi-category treatments, a binomial or multinomial regression model is used to estimate the propensity scores as the predicted probability of being in each treatment given the covariates. For ordinal treatments, an ordinal regression model is used to estimate generalized propensity scores. For continuous treatments, a generalized linear model is used to estimate generalized propensity scores as the conditional density of treatment given the covariates.

Binary Treatments

For binary treatments, this method estimates the propensity scores using glm(). An additional argument is link, which uses the same options as link in family(). The default link is "logit", but others, including "probit", are allowed. The following estimands are allowed: ATE, ATT, ATC, ATO, ATM, and ATOS. Weights can also be computed using marginal mean weighting through stratification for the ATE, ATT, and ATC. See get_w_from_ps() for details.

Multi-Category Treatments

For multi-category treatments, the propensity scores are estimated using multinomial regression from one of a few functions depending on the argument supplied to multi.method (see Additional Arguments below). The following estimands are allowed: ATE, ATT, ATC, ATO, and ATM. The weights for each estimand are computed using the standard formulas or those mentioned above. Weights can also be computed using marginal mean weighting through stratification for the ATE, ATT, and ATC. See get_w_from_ps() for details.

Continuous Treatments

For continuous treatments, the generalized propensity score is estimated using linear regression. The conditional density can be specified as normal or another distribution. In addition, kernel density estimation can be used instead of assuming a specific density for the numerator and denominator of the generalized propensity score by setting use.kernel = TRUE. Other arguments to density() can be specified to refine the density estimation parameters. plot = TRUE can be specified to plot the density for the numerator and denominator, which can be helpful in diagnosing extreme weights.

Longitudinal Treatments

For longitudinal treatments, the weights are the product of the weights estimated at each time point.

Sampling Weights

Sampling weights are supported through s.weights in all scenarios except for multi-category treatments with link = "bayes.probit" and for binary and continuous treatments with missing = "saem" (see below). Warning messages may appear otherwise about non-integer successes, and these can be ignored.

Missing Data

In the presence of missing data, the following value(s) for missing are allowed:

"ind" (default): First, for each variable with missingness, a new missingness indicator variable is created which takes the value 1 if the original covariate is NA and 0 otherwise. The missingness indicators are added to the model formula as main effects. The missing values in the covariates are then replaced with the covariate medians (this value is arbitrary and does not affect estimation). The weight estimation then proceeds with this new formula and set of covariates. The covariates output in the resulting weightit object will be the original covariates with the NAs.
"saem": For binary treatments with link = "logit" or continuous treatments, a stochastic approximation version of the EM algorithm (SAEM) is used via the misaem package. No additional covariates are created. See Jiang et al. (2019) for information on this method. In some cases, this is a suitable alternative to multiple imputation.

M-estimation

For binary treatments, M-estimation is supported when missing is not "saem" and link does not start with "br.". For multi-category treatments, M-estimation is supported when missing is not "saem" and multi-method is "weightit" (the default for non-ordered treatments) or "glm". For continuous treatments, M-estimation is not supported. See glm_weightit() and vignette("estimating-effects") for details. For longitudinal treatments, M-estimation is supported whenever the underlying methods are.

Additional Arguments

For binary treatments, the following additional argument can be specified:

link: the link used in the generalized linear model for the propensity scores. link can be any of those allowed by binomial(). A br. prefix can be added (e.g., "br.logit"); this changes the fitting method to the bias-corrected generalized linear models implemented in the brglm2 package.

For multi-category treatments, the following additional arguments can be specified:

multi.method: the method used to estimate the generalized propensity scores. Allowable options include "weightit" to use an M-estimation-based method of multinomial logistic regression implemented in WeightIt, "glm" to use a series of binomial models using glm(), "mclogit" to use multinomial logistic regression as implemented in mclogit::mblogit(), "mnp" to use Bayesian multinomial probit regression as implemented in MNP::MNP(), and "brmultinom" to use bias-reduced multinomial logistic regression as implemented in brglm2::brmultinom(). For ordered treatments, "polr" can be supplied to use ordinal regression as implemented in MASS::polr() unless link is "br.logit", in which case bias-reduce ordinal logistic regression as implemented in brglm2::bracl() is used. "weightit" and "mclogit" should give near-identical results, the main difference being increased robustness and customizability when using "mclogit" at the expense of not being able to use M-estimation to compute standard errors after weighting. The default is "weightit" for un-ordered treatments and "polr" for ordered treatments. Ignored when missing = "saem".
link: The link used in the multinomial, binomial, or ordered regression model for the generalized propensity scores depending on the argument supplied to multi.method. When multi.method = "glm", link can be any of those allowed by binomial(). When treatment is ordered and multi.method = "polr", link can be any of those allowed by MASS::polr() or "br.logit". Otherwise, link should be "logit" or not specified.

For continuous treatments, the following additional arguments may be supplied:

density: A function corresponding the conditional density of the treatment. The standardized residuals of the treatment model will be fed through this function to produce the numerator and denominator of the generalized propensity score weights. If blank, dnorm() is used as recommended by Robins et al. (2000). This can also be supplied as a string containing the name of the function to be called. If the string contains underscores, the call will be split by the underscores and the latter splits will be supplied as arguments to the second argument and beyond. For example, if density = "dt_2" is specified, the density used will be that of a t-distribution with 2 degrees of freedom. Using a t-distribution can be useful when extreme outcome values are observed (Naimi et al., 2014). Ignored if use.kernel = TRUE (described below).
use.kernel: If TRUE, uses kernel density estimation through the density() function to estimate the numerator and denominator densities for the weights. If FALSE, the argument to the density parameter is used instead.
bw, adjust, kernel, n: If use.kernel = TRUE, the arguments to the density() function. The defaults are the same as those in density except that n is 10 times the number of units in the sample.
plot: If use.kernel = TRUE with continuous treatments, whether to plot the estimated density.
link: The link used to fit the linear model for the generalized propensity score. Can be any allowed by gaussian().

Additional arguments to glm() can be specified as well when it is used for fitting. The method argument in glm() is renamed to glm.method. This can be used to supply alternative fitting functions, such as those implemented in the glm2 package. Other arguments to weightit() are passed to ... in glm(). In the presence of missing data with link = "logit" and missing = "saem", additional arguments are passed to misaem::miss.glm() and misaem::predict.miss.glm(), except the method argument in misaem::predict.miss.glm() is replaced with saem.method.

For continuous treatments in the presence of missing data with missing = "saem", additional arguments are passed to misaem::miss.lm() and misaem::predict.miss.lm().

Additional Outputs

obj: When include.obj = TRUE, the (generalized) propensity score model fit. For binary treatments, the output of the call to glm(). For multi-category treatments, the output of the call to the fitting function (or a list thereof if multi.method = "glm". For continuous treatments, the output of the call to glm() for the predicted values in the denominator density.

References

Binary treatments

estimand = "ATO"

Li, F., Morgan, K. L., & Zaslavsky, A. M. (2018). Balancing covariates via propensity score weighting. Journal of the American Statistical Association, 113(521), 390–400. doi:10.1080/01621459.2016.1260466

estimand = "ATM"

Li, L., & Greene, T. (2013). A Weighting Analogue to Pair Matching in Propensity Score Analysis. The International Journal of Biostatistics, 9(2). doi:10.1515/ijb-2012-0030

estimand = "ATOS"

Crump, R. K., Hotz, V. J., Imbens, G. W., & Mitnik, O. A. (2009). Dealing with limited overlap in estimation of average treatment effects. Biometrika, 96(1), 187–199. doi:10.1093/biomet/asn055

Other estimands

Austin, P. C. (2011). An Introduction to Propensity Score Methods for Reducing the Effects of Confounding in Observational Studies. Multivariate Behavioral Research, 46(3), 399–424. doi:10.1080/00273171.2011.568786

Marginal mean weighting through stratification

Hong, G. (2010). Marginal mean weighting through stratification: Adjustment for selection bias in multilevel data. Journal of Educational and Behavioral Statistics, 35(5), 499–531. doi:10.3102/1076998609359785

Bias-reduced logistic regression

See references for the brglm2 package().

SAEM logistic regression for missing data

Jiang, W., Josse, J., & Lavielle, M. (2019). Logistic regression with missing covariates — Parameter estimation, model selection and prediction within a joint-modeling framework. Computational Statistics & Data Analysis, 106907. doi:10.1016/j.csda.2019.106907

Multi-Category Treatments

estimand = "ATO"

Li, F., & Li, F. (2019). Propensity score weighting for causal inference with multiple treatments. The Annals of Applied Statistics, 13(4), 2389–2415. doi:10.1214/19-AOAS1282

estimand = "ATM"

Yoshida, K., Hernández-Díaz, S., Solomon, D. H., Jackson, J. W., Gagne, J. J., Glynn, R. J., & Franklin, J. M. (2017). Matching weights to simultaneously compare three treatment groups: Comparison to three-way matching. Epidemiology (Cambridge, Mass.), 28(3), 387–395. doi:10.1097/EDE.0000000000000627

Other estimands

McCaffrey, D. F., Griffin, B. A., Almirall, D., Slaughter, M. E., Ramchand, R., & Burgette, L. F. (2013). A Tutorial on Propensity Score Estimation for Multiple Treatments Using Generalized Boosted Models. Statistics in Medicine, 32(19), 3388–3414. doi:10.1002/sim.5753

Marginal mean weighting through stratification

Hong, G. (2012). Marginal mean weighting through stratification: A generalized method for evaluating multivalued and multiple treatments with nonexperimental data. Psychological Methods, 17(1), 44–60. doi:10.1037/a0024918

Continuous treatments

Robins, J. M., Hernán, M. Á., & Brumback, B. (2000). Marginal Structural Models and Causal Inference in Epidemiology. Epidemiology, 11(5), 550–560.

Using non-normal conditional densities

Naimi, A. I., Moodie, E. E. M., Auger, N., & Kaufman, J. S. (2014). Constructing Inverse Probability Weights for Continuous Exposures: A Comparison of Methods. Epidemiology, 25(2), 292–299. doi:10.1097/EDE.0000000000000053

SAEM linear regression for missing data

Examples

library("cobalt")
data("lalonde", package = "cobalt")

#Balancing covariates between treatment groups (binary)
(W1 <- weightit(treat ~ age + educ + married +
                  nodegree + re74, data = lalonde,
                method = "glm", estimand = "ATT",
                link = "probit"))
#> A weightit object
#>  - method: "glm" (propensity score weighting with GLM)
#>  - number of obs.: 614
#>  - sampling weights: none
#>  - treatment: 2-category
#>  - estimand: ATT (focal: 1)
#>  - covariates: age, educ, married, nodegree, re74
summary(W1)
#>                  Summary of weights
#> 
#> - Weight ranges:
#> 
#>            Min                                  Max
#> treated 1.0000                 ||            1.0000
#> control 0.0176 |---------------------------| 1.8338
#> 
#> - Units with the 5 most extreme weights by group:
#>                                         
#>               5     4     3     2      1
#>  treated      1     1     1     1      1
#>             612   595   269   409    296
#>  control 1.2781 1.351 1.412 1.518 1.8338
#> 
#> - Weight statistics:
#> 
#>         Coef of Var   MAD Entropy # Zeros
#> treated       0.000 0.000   0.000       0
#> control       0.804 0.691   0.322       0
#> 
#> - Effective Sample Sizes:
#> 
#>            Control Treated
#> Unweighted  429.       185
#> Weighted    260.83     185
bal.tab(W1)
#> Balance Measures
#>                Type Diff.Adj
#> prop.score Distance   0.0252
#> age         Contin.   0.0716
#> educ        Contin.  -0.0565
#> married      Binary   0.0058
#> nodegree     Binary   0.0128
#> re74        Contin.  -0.0507
#> 
#> Effective sample sizes
#>            Control Treated
#> Unadjusted  429.       185
#> Adjusted    260.83     185

#Balancing covariates with respect to race (multi-category)
(W2 <- weightit(race ~ age + educ + married +
                  nodegree + re74, data = lalonde,
                method = "glm", estimand = "ATE"))
#> A weightit object
#>  - method: "glm" (propensity score weighting with GLM)
#>  - number of obs.: 614
#>  - sampling weights: none
#>  - treatment: 3-category (black, hispan, white)
#>  - estimand: ATE
#>  - covariates: age, educ, married, nodegree, re74
summary(W2)
#>                  Summary of weights
#> 
#> - Weight ranges:
#> 
#>           Min                                   Max
#> black  1.4528 |---------------------------| 30.8071
#> hispan 1.7990  |---------------------|      25.9532
#> white  1.1123 |-|                            3.9770
#> 
#> - Units with the 5 most extreme weights by group:
#>                                               
#>             226     231    485     181     182
#>   black   7.532  7.6243 8.5246 12.3509 30.8071
#>             392     564    345     269     371
#>  hispan 15.9922 16.7517 18.784 23.4106 25.9532
#>             432     589    437     404     599
#>   white   3.686  3.6864  3.712  3.7842   3.977
#> 
#> - Weight statistics:
#> 
#>        Coef of Var   MAD Entropy # Zeros
#> black        0.890 0.426   0.192       0
#> hispan       0.541 0.404   0.132       0
#> white        0.382 0.317   0.068       0
#> 
#> - Effective Sample Sizes:
#> 
#>            black hispan  white
#> Unweighted 243.   72.   299.  
#> Weighted   135.8  55.86 261.02
bal.tab(W2)
#> Balance summary across all treatment pairs
#>             Type Max.Diff.Adj
#> age      Contin.       0.0419
#> educ     Contin.       0.1276
#> married   Binary       0.0500
#> nodegree  Binary       0.0605
#> re74     Contin.       0.2023
#> 
#> Effective sample sizes
#>            black hispan  white
#> Unadjusted 243.   72.   299.  
#> Adjusted   135.8  55.86 261.02

#Balancing covariates with respect to re75 (continuous)
(W3 <- weightit(re75 ~ age + educ + married +
                  nodegree + re74, data = lalonde,
                method = "glm", use.kernel = TRUE))
#> A weightit object
#>  - method: "glm" (propensity score weighting with GLM)
#>  - number of obs.: 614
#>  - sampling weights: none
#>  - treatment: continuous
#>  - covariates: age, educ, married, nodegree, re74
summary(W3)
#>                  Summary of weights
#> 
#> - Weight ranges:
#> 
#>       Min                                   Max
#> all 0.088 |---------------------------| 83.1017
#> 
#> - Units with the 5 most extreme weights:
#>                                           
#>         482     481    484     483     485
#>  all 56.933 56.9865 70.237 77.1173 83.1017
#> 
#> - Weight statistics:
#> 
#>     Coef of Var   MAD Entropy # Zeros
#> all       2.908 1.049   1.156       0
#> 
#> - Effective Sample Sizes:
#> 
#>             Total
#> Unweighted 614.  
#> Weighted    65.03
bal.tab(W3)
#> Balance Measures
#>             Type Corr.Adj
#> age      Contin.  -0.0501
#> educ     Contin.   0.0016
#> married   Binary  -0.0427
#> nodegree  Binary  -0.0196
#> re74     Contin.  -0.0773
#> 
#> Effective sample sizes
#>             Total
#> Unadjusted 614.  
#> Adjusted    65.03

Propensity Score Weighting Using Generalized Linear Models

Binary Treatments

Multi-Category Treatments

Continuous Treatments

Longitudinal Treatments

Sampling Weights

Missing Data

M-estimation

Additional Arguments

Additional Outputs

References

Binary treatments

Multi-Category Treatments

Continuous treatments

See also

Examples