There is a growing literature on estimating effects of treatment strategies based on the natural treatment that would have been received in the absence of intervention, often dubbed `modified treatment policies' (MTPs). MTPs are sometimes of interest because they are more realistic than interventions setting exposure to an ideal level for all members of a population. In the general time-varying setting, Richardson and Robins (2013) provided exchangeability conditions for nonparametric identification of MTP effects that could be deduced from Single World Intervention Graphs (SWIGs). Diaz (2023) provided multiply robust estimators under these identification assumptions that allow for machine learning nuisance regressions. In this paper, we fill a remaining gap by extending Structural Nested Mean Models (SNMMs) to MTP settings, which enables characterization of (time-varying) heterogeneity of MTP effects. We do this both under the exchangeability assumptions of Richardson and Robins (2013) and under parallel trends assumptions, which enables investigation of (time-varying heterogeneous) MTP effects in the presence of some unobserved confounding.

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