Probably the most frustrating thing in the life of a pharmacoepidemiologist is explaining why cross-sectional drug effects are impossible to estimate. People exposed to a drug at baseline have an outcome that is a composite of:
1) True Drug Effect
2) Underlying Disease Condition (indication for the drug)
It is impossible to separate these effects. So you have strange results when you analyze these data sets: such as anti-hypertensive medications often appear to increase blood pressure when you look at cross-sectional data.
This phenomenon makes it impossible to do any causal inference from a cross sectional drug study if the outcome is even remotely related to the indication. Much grief would be saved if we kept this feature of such studies in mind.
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