A Bayesian multivariate factor analysis model for causal inference using time-series observational data on mixed outcomes.

Assessing the impact of an intervention by using time-series observational data on multiple units and outcomes is a frequent problem in many fields of scientific research. Here, we propose a novel Bayesian multivariate factor analysis model for estimating intervention effects in such settings and develop an efficient Markov chain Monte Carlo algorithm to sample from the high-dimensional and nontractable posterior of interest. The proposed method is one of the few that can simultaneously deal with outcomes of mixed type (continuous, binomial, count), increase efficiency in the estimates of the causal effects by jointly modeling multiple outcomes affected by the intervention, and easily provide uncertainty quantification for all causal estimands of interest. Using the proposed approach, we evaluate the impact that Local Tracing Partnerships had on the effectiveness of England's Test and Trace programme for COVID-19.