I love papers that make you go “This is obvious in hindsight. Why did nobody try it before?” Some NLP folks made this remark about Transformers (“Attention Is All You Need”). To me, “The Blessings of Multiple Causes” evokes a similar feeling: why didn’t people create synthetic instruments?

Prerequisites

This article assumes basic familiarity with causal DAGs and causal inference. If you are unfamiliar with those terms, read the last third of my previous article on causality to get a brief overview.

Additionally, while there are many ways of creating synthetic instruments, this article uses probabilistic PCA as it’s one of the most generic methods. If you don’t know much about PCA, I suggest reading this wonderful and intuitive explanation.

#analytics #data-science #statistics #causality #machine-learning