Efficient nonparametric estimation of causal mediation effects

Abstract: An essential goal of program evaluation and scientific research is the investigation of causal mechanisms. Over the past several decades, causal mediation analysis has been used in medical and social sciences to decompose the treatment effect into the natural direct and indirect effects. However, all of the existing mediation analysis methods rely on parametric modeling assumptions in one way or another, typically requiring researchers to specify multiple regression models involving the treatment, mediator, outcome, and pre-treatment confounders. To overcome this limitation, we propose a novel nonparametric estimation method for causal mediation analysis that eliminates the need for applied researchers to model multiple conditional distributions. The proposed method balances a certain set of empirical moments between the treatment and control groups by weighting each observation; in particular, we establish that the proposed estimator is globally semiparametric efficient. We also show how to consistently estimate the asymptotic variance of the proposed estimator without additional efforts. Finally, we extend the proposed method to other relevant settings including the causal mediation analysis with multiple mediators.