### EXAMPLE 2: demonstrates how measurement error can lead to a type sign error in a covariate ### Even when you have a good predictor, if it's biased against a covariate you can get the wrong sign. ### Even when you include the proxy variable in the regression. ### But with some ground truth and multiple imputation, you can fix it. library(argparser) library(mecor) library(ggplot2) library(data.table) library(filelock) library(arrow) library(Amelia) library(Zelig) library(predictionError) options(amelia.parallel="no", amelia.ncpus=1) ## SETUP: ### we want to estimate x -> y; x is MAR ### we have x -> k; k -> w; x -> w is used to predict x via the model w. ### A realistic scenario is that we have an NLP model predicting something like "racial harassment" in social media comments ### The labels x are binary, but the model provides a continuous predictor ### simulation: #### how much power do we get from the model in the first place? (sweeping N and m) #### source("simulation_base.R") simulate_latent_cocause <- function(N, m, B0, Bxy, Bgy, Bkx, Bgx, seed){ set.seed(seed) ## the true value of x g <- rbinom(N, 1, 0.5) k <- rnorm(N, 0, 1) xprime <- Bkx*k + Bgx * g + rnorm(N,0,1) xvec <- scale(xprime) y <- Bxy * xvec + Bgy * g + rnorm(N, 0, 1) + B0 df <- data.table(x=xvec,k=k,y=y,g=g) names(df) <- c('x','k','y','g') if( m < N){ df <- df[sample(nrow(df), m), x.obs := x] } else { df <- df[, x.obs := x] } w.model <- lm(x ~ k,df) w <- predict(w.model,data.frame(k=k)) w <- logistic(w + rnorm(N,0,sd(w)*0.1)) ## y = B0 + B1x + e df[,':='(w=w, w_pred = as.integer(w>0.5))] return(df) } parser <- arg_parser("Simulate data and fit corrected models") parser <- add_argument(parser, "--N", default=1000, help="number of observations of w") parser <- add_argument(parser, "--m", default=200, help="m the number of ground truth observations") parser <- add_argument(parser, "--seed", default=4321, help='seed for the rng') parser <- add_argument(parser, "--outfile", help='output file', default='example_2.feather') args <- parse_args(parser) Ns <- c(1000, 10000, 1e6) ms <- c(100, 250, 500, 1000) B0 <- 0 Bxy <- 0.2 Bgy <- -0.2 Bkx <- 2 Bgx <- 3 outline <- run_simulation(simulate_latent_cocause(args$N, args$m, B0, Bxy, Bgy, Bkx, Bgx, args$seed) ,list('N'=args$N,'m'=args$m,'B0'=B0,'Bxy'=Bxy,'Bgy'=Bgy, 'Bkx'=Bkx, 'Bgx'=Bgx, 'seed'=args$seed)) outfile_lock <- lock(paste0(args$outfile, '_lock'),exclusive=TRUE) if(file.exists(args$outfile)){ logdata <- read_feather(args$outfile) logdata <- rbind(logdata,as.data.table(outline)) } else { logdata <- as.data.table(outline) } print(outline) write_feather(logdata, args$outfile) unlock(outfile_lock)