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Primary Submission Category: Randomized Studies

Doubly robust nearest neighbors in factor models

Authors: Raaz Dwivedi, Katherine Tian, Sabina Tomkins, Predrag Klasnja, Susan Murphy, Devavrat Shah,

Presenting Author: Raaz Dwivedi*

We introduce an improved variant of nearest neighbors for counterfactual inference in panel data settings where multiple units are assigned multiple treatments over multiple time points, each sampled with constant probabilities. We call this estimator a doubly robust nearest neighbor estimator and provide a high probability non-asymptotic error bound for the mean parameter corresponding to each unit at each time. Our guarantee shows that the doubly robust estimator provides a (near-)quadratic improvement in the error compared to nearest neighbor estimators analyzed in prior work for these settings.