Split-door criterion for causal identification: Automatic search for natural experiments. (arXiv:1611.09414v1 [stat.ME])

Unobserved or unknown confounders complicate even the simplest attempts to estimate the effect of one variable on another using observational data. When cause and effect are both affected by unobserved confounders, methods based on identifying natural experiments have been proposed to eliminate confounds. However, their validity is hard to verify because they depend on assumptions about the independence of variables, that by definition, cannot be measured. In this paper we investigate a particular scenario in time series data that permits causal identification in the presence of unobserved confounders and present an algorithm to automatically find such scenarios. Specifically, we examine what we call the split-door setting, when the effect variable can be split up into two parts: one that is potentially affected by the cause, and another that is independent of it. We show that when both of these variables are caused by the same (unobserved) confounders, the problem of identification reduces to that of testing for independence among observed variables. We discuss various situations in which split-door variables are commonly recorded in both online and offline settings, and demonstrate the method by estimating the causal impact of Amazon's recommender system, obtaining more than 23,000 natural experiments that provide similar---but more precise---estimates than past studies.

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