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Comment by jessefrederik

This is an empirical question. I suggest you read the research I cite. For Facebook: https://www.kellogg.northwestern.edu/faculty/gordon_b/files/... For display ads: https://www.aeaweb.org/conference/2014/retrieve.php?pdfid=98... For search: https://pubsonline.informs.org/doi/10.1287/mksc.2017.1065

The problem is: yes, there's only a tiny chance somebody who searches 'nike shoes' ends up in your store. But the probability that someone ends up in your store BECAUSE he saw your ad is even smaller. So if you don't correct for selection effects your going to overstate ad effects by orders of magnitude.

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