Sequential Validation of Treatment Heterogeneity

Stefan Wager

Papers from arXiv.org

Abstract: We use the martingale construction of Luedtke and van der Laan (2016) to develop tests for the presence of treatment heterogeneity. The resulting sequential validation approach can be instantiated using various validation metrics, such as BLPs, GATES, QINI curves, etc., and provides an alternative to cross-validation-like cross-fold application of these metrics.

Date: 2024-05
New Economics Papers: this item is included in nep-ecm and nep-inv
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