Causal effects based on distributional distances

Comparing counterfactual distributions can provide more nuanced and valuable measures for causal effects, going beyond typical summary statistics such as averages. In this work, we consider characterizing causal effects via distributional distances, focusing on two kinds of target parameters. The first is the counterfactual outcome density. We propose a doubly robust-style estimator for the counterfactual density and study its rates of convergence and limiting distributions. We analyze asymptotic upper bounds on the Lq and the integrated Lq risks of the proposed estimator, and propose a bootstrap-based confidence band. The second is a novel distributional causal effect defined by the L1 distance between different counterfactual distributions. We study three approaches for estimating the proposed distributional effect: smoothing the counterfactual density, smoothing the L1 distance, and imposing a margin condition. For each approach, we analyze asymptotic properties and error bounds of the proposed estimator, and discuss potential advantages and disadvantages. We go on to present a bootstrap approach for obtaining confidence intervals, and propose a test of no distributional effect. We conclude with a numerical illustration and a real-world example.