I made this intriguing observation when playing with a Gaussian process (GP) example. Initially, I wanted to show that a GP is useful to control for non-linearly related confounding variables. Indeed, it is. But the subtitle about the type-S error was added when I discovered that non-linear confounding can result in data that *appears* as though it might be reasonably well-handled by a linear model. But in reality, failure to notice and deal with non-linearity with respect to confounders can be detrimental to our inferences.

*Type S error*: when the estimate has the wrong sign compared with the truth

Generate \(300\) data points from a process in which a confounding variable \(z\) non-linearly causes both \(x\) and \(y\) according to a sigmoid function \(f(z)\), and \(x\) causes \(y\) according to a linear function.

\[ y \sim N(\beta x + f(z), \sigma_y) \]

\[ x \sim N(f(z), \sigma_x) \]

The quantity of interest is \(\beta\), which governs the linear relationship \(x \rightarrow y\). We set \(\beta\) to \(0.5\), and we strive to recover this value in the analysis.

\[ \beta = 0.5 \]

\(\sigma_y\) and \(\sigma_x\) are the standard deviations of the noise terms for the generation of \(x\) and \(y\), and are both set to \(0.1\).

\[ \sigma_y = \sigma_x = 0.1 \]

The logistic function, which I refer to as \(f(z)\) is defined with an otherwise not-shown vector of parameters \(\mathbf{p}\).

\[ f(z,\mathbf{p}) = \frac{p_1}{1+e^{-p_2(z - p_3)}} \]

\(\mathbf{p}\) is a vector of three parameters for the logistic function, and varies depending on whether I’m generating \(x\) or \(y\).

```
# plant a cool seed for the sake of reproducibility
set.seed(1337)
# sample size
n <- 300
# true beta coefficient for x -> y
beta <- 0.5
# define logistic function for non-linear confounding
f <- function(x, p) {
p[1] / (1 + exp(-p[2] * (x - p[3])))
}
## generate the data
# d will be our data frame, z is the confounder
d <- data.frame(z=runif(n, min=-3.5, max=3.5))
# x is the independent var, non-linearly caused by
# the confounder plus noise
d$x <- f(d$z, c(-1,3,0)) + rnorm(nrow(d), sd=.1)
# y is the dependent var, non-linearly caused by
# z and linearly caused by x plus noise
d$y <- as.vector(scale(
f(d$z, c(1,3,0)) + beta*d$x + rnorm(nrow(d), sd=.1),
center=T, scale=F))
# check data
head(d)
```

```
## z x y
## 1 0.5342508 -1.00068662 -0.13483070
## 2 0.4531949 -0.87473019 0.26065765
## 3 -2.9820684 0.05920894 -0.04914822
## 4 -0.3229406 -0.28820588 -0.19874263
## 5 -0.8870452 0.07709126 -0.08404624
## 6 -1.1807778 -0.06177889 -0.24031871
```

Let’s dive right into the analysis. First, visualize the relationships involving the confounder \(z\)

```
## plot y across z, and separately x across z
with(d, {
par(mfrow=c(1,2))
plot(z, y)
plot(z, x)
})
```

I see some non-linearity in these relationships. But the relationships maintain their direction throughout (i.e., no A or U shaped relationships here). So maybe it’s safe to assume they are approximately linear functions?

Visualize the relationship between \(x\) and \(y\)

```
with(d, {
plot(x, y)
})
```

This looks problematic because we defined the relationship between \(x\) and \(y\) to be positive, but this looks negative. That said, I’m sure most of us have heard of Simpson’s paradox, the crux of which is that a failure to control for confounding variables could bias estimates, perhaps enough to generate a type-S error.

An admittedly very brief look at the literature turned up an article titled Examining the Error of Mis-Specifying Nonlinear Confounding Effect With Application on Accelerometer-Measured Physical Activity. The abstract concludes: *“For continuous outcomes, confounders with nonlinear effects can be adjusting [sic] with a linear term.”*

Can we recover the true causal relationship \(x \rightarrow y\) using a linear model? First, we’ll fit the model assuming \(y\) is a simple linear function of \(x\) and some noise.

```
## fit an OLS model of y ~ x (no confounder added)
ans1 <- lm(y ~ x, data=d)
summary(ans1)
```

```
##
## Call:
## lm(formula = y ~ x, data = d)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.50584 -0.08590 -0.00032 0.09114 0.45291
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.22662 0.01249 -18.14 <2e-16 ***
## x -0.44145 0.01801 -24.52 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.1455 on 298 degrees of freedom
## Multiple R-squared: 0.6685, Adjusted R-squared: 0.6674
## F-statistic: 601 on 1 and 298 DF, p-value: < 2.2e-16
```

The coefficient for \(x\) (\(\hat\beta\) hereafter) is way off base. If we took this to be a reasonable estimate, we’d certainly be making a type-S error. But really, we didn’t expect that to work correctly, because we know we have a confounding variable \(z\) involved. So let’s try again with \(z\) included.

```
## fit an OLS model including the confounder
ans2 <- lm(y ~ x+z, data=d)
summary(ans2)
```

```
##
## Call:
## lm(formula = y ~ x + z, data = d)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.44714 -0.08950 0.00022 0.09074 0.45628
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.103188 0.021798 -4.734 3.42e-06 ***
## x -0.191331 0.040929 -4.675 4.47e-06 ***
## z 0.062969 0.009395 6.702 1.03e-10 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.1359 on 297 degrees of freedom
## Multiple R-squared: 0.7121, Adjusted R-squared: 0.7101
## F-statistic: 367.3 on 2 and 297 DF, p-value: < 2.2e-16
```

Nope! \(\hat\beta\) is still way off. The sign is still wrong (type S error), even if we control for the confounder \(z\)!

Why am I sufficiently shocked to warrant the “!” in the previous sentence? This is, after all, a post about a non-linear confounder, which we built into the data, and which we did not properly capture in the linear model.

As Stephen Martin pointed out when looking at a draft of this post, it’s not *at all clear* from the plotted data that one needs to be *really* worried about the non-linearity of the relationships involving the confounder \(z\). I mean, maybe a subgroup of you analysts out there knew this was coming. But nothing I’ve ever been taught, in conjunction with the plotted data, would have led me to think …

oh wow, we’re totally going to blow our inference if we don’t do something about that non-linearity.

I might think …

well, I see some non-linearity in there, and I can imagine it creating some bias, or even a type I or type II error, but at least this linear model, controlling for the confounder, will give me an idea of what I’m looking at.

Apparently, it may not even come close!

I want to reiterate what I said in the intermediate discussion. I think a typical applied analyst may look at the data plots I presented and believe a linear model accounting for the confounder \(z\) would be a totally reasonable first go, if not a totally reasonable full solution. And this post is meant to suggest “maybe not.”