Inverse probability (IP) weighting of marginal structural models (MSMs) can provide consistent estimators of time-varying treatment effects under correct model specifications and identifiability assumptions, even in the presence of time-varying confounding. However, this method has two problems: (i) inefficiency due to IP-weights cumulating all time points and (ii) bias and inefficiency due to the MSM misspecification. To address these problems, we propose new IP-weights for estimating the parameters of the MSM dependent on partial treatment history and closed testing procedures for selecting the MSM under known IP-weights. In simulation studies, our proposed methods outperformed existing methods in terms of both performance in estimating time-varying treatment effects and in selecting the correct MSM. Our proposed methods were also applied to real data of hemodialysis patients with reasonable results.

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