 Double machine learning for treatment and causal parametersVictor Chernozhukov,
Denis Chetverikov (),
Mert Demirer,
Esther Duflo,
Christian Hansen and
Whitney Newey
No CWP49/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies Abstract: Most modern supervised statistical/machine learning (ML) methods are explicitly designed to solve prediction problems very well. Achieving this goal does not imply that these methods automatically deliver good estimators of causal parameters. Examples of such parameters include individual regression coffiecients, average treatment e ffects, average lifts, and demand or supply elasticities. In fact, estimators of such causal parameters obtained via naively plugging ML estimators into estimating equations for such parameters can behave very poorly. For example, the resulting estimators may formally have inferior rates of convergence with respect to the sample size n caused by regularization bias. Fortunately, this regularization bias can be removed by solving auxiliary prediction problems via ML tools. Speci ficially, we can form an efficient score for the target low-dimensional parameter by combining auxiliary and main ML predictions. The efficient score may then be used to build an efficient estimator of the target parameter which typically will converge at the fastest possible 1/v n rate and be approximately unbiased and normal, allowing simple construction of valid con fidence intervals for parameters of interest. The resulting method thus could be called a "double ML" method because it relies on estimating primary and auxiliary predictive models. Such double ML estimators achieve the fastest rates of convergence and exhibit robust good behavior with respect to a broader class of probability distributions than naive "single" ML estimators. In order to avoid overfi tting, following [3], our construction also makes use of the K-fold sample splitting, which we call cross- fitting. The use of sample splitting allows us to use a very broad set of ML predictive methods in solving the auxiliary and main prediction problems, such as random forests, lasso, ridge, deep neural nets, boosted trees, as well as various hybrids and aggregates of these methods (e.g. a hybrid of a random forest and lasso). We illustrate the application of the general theory through application to the leading cases of estimation and inference on the main parameter in a partially linear regression model and estimation and inference on average treatment eff ects and average treatment e ffects on the treated under conditional random assignment of the treatment. These applications cover randomized control trials as a special case. We then use the methods in an empirical application which estimates the e ffect of 401(k) eligibility on accumulated financial assets. Keywords: Neyman; orthogonalization; cross-fi t; double machine learning; debiased machine learning; orthogonal score; efficient score; post-machine-learning and post-regularization inference; random forest; lasso; deep learning; neural nets; boosted trees; efficiency; optimality. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:49/16 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC. |
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