Difference-in-Differences Meets Tree-based Methods: Heterogeneous Treatment Effects Estimation with Unmeasured Confounding

This study considers the estimation of conditional causal effects in the presence of unmeasured confounding for a balanced panel with treatment imposed at the last time point. To address this, we combine Difference-in-differences (DiD) and tree-based methods and propose a new identification assumption that allows for the violation of the (conditional) parallel trends assumption adopted by most existing DiD methods. Under this new assumption, we prove partial identifiability of the conditional average treatment effect on the treated group (CATT). Our proposed method estimates CATT through a tree-based causal approach, guided by a novel splitting rule that avoids model misspecification and unnecessary auxiliary parameter estimation. The splitting rule measures both the error of fitting observed data and the violation of conditional parallel trends simultaneously. We also develop an ensemble of multiple trees via gradient boosting to further enhance performance. Experimental results on both synthetic and real-world datasets validate the effectiveness of our proposed method.