To Adjust or not to Adjust? Estimating the Average Treatment Effect in Randomized Experiments with Missing Covariates

Randomized experiments allow for consistent estimation of the average treatment effect based on the difference in mean outcomes without strong modeling assumptions. Appropriate use of pretreatment covariates can further improve the estimation efficiency. Missingness in covariates is nevertheless common in practice, and raises an important question: should we adjust for covariates subject to missingness, and if so, how? The unadjusted difference in means is always unbiased. The complete-covariate analysis adjusts for all completely observed covariates, and is asymptotically more efficient than the difference in means if at least one completely observed covariate is predictive of the outcome. Then what is the additional gain of adjusting for covariates subject to missingness? To reconcile the conflicting recommendations in the literature, we analyze and compare five strategies for handling missing covariates in randomized experiments under the design-based framework, and recommend the missingness-indicator method, as a known but not so popular strategy in the literature, due to its multiple advantages. First, it removes the dependence of the regression-adjusted estimators on the imputed values for the missing covariates. Second, it does not require modeling the missingness mechanism, and yields consistent estimators even when the missingness mechanism is related to the missing covariates and unobservable potential outcomes. Third, it ensures large-sample efficiency over the complete-covariate analysis and the analysis based on only the imputed covariates. Lastly, it is easy to implement via least squares. We also propose modifications to it based on asymptotic and finite sample considerations. Importantly, our theory views randomization as the basis for inference, and does not impose any modeling assumptions on the data-generating process or missingness mechanism. Supplementary materials for this article are available online.

Duke Scholars

Author Anqi Zhao Fuqua School of Business