Cited by 167Advanced Causal Inference TechniquesStatistical Methods and InferenceSpatial and Panel Data Analysis

Debiased machine learning of conditional average treatment effects and other causal functions

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Semenova, Vira, Chernozhukov, Victor·2021·The Econometrics Journal

Abstract

Summary This paper provides estimation and inference methods for the best linear predictor (approximation) of a structural function, such as conditional average structural and treatment effects, and structural derivatives, based on modern machine learning tools. We represent this structural function as a conditional expectation of an unbiased signal that depends on a nuisance parameter, which we estimate by modern machine learning techniques. We first adjust the signal to make it insensitive (Neyman-orthogonal) with respect to the first-stage regularisation bias. We then project the signal onto a set of basis functions, which grow with sample size, to get the best linear predictor of the structural function. We derive a complete set of results for estimation and simultaneous inference on all parameters of the best linear predictor, conducting inference by Gaussian bootstrap. When the structural function is smooth and the basis is sufficiently rich, our estimation and inference results automatically target this function. When basis functions are group indicators, the best linear predictor reduces to the group average treatment/structural effect, and our inference automatically targets these parameters. We demonstrate our method by estimating uniform confidence bands for the average price elasticity of gasoline demand conditional on income.

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  • Semenova and Chernozhukov (2020) provide a method for estimation and inference of the best linear projections of CATEs on observable characteristics.

    “Semenova and Chernozhukov (2020) provide a method for estimation and inference of the best linear projections of CATEs on observable characteristics.”

    From Prison Rehabilitation Programs: Efficiency and Targeting (2021) · cites this paper as Semenova and Chernozhukov (2020)

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Research works printed but not linked: 2

  1. Chen, X. and K. Kato (2019). Jackknife multiplier bootstrap: Finite sample approximations to the u -process supremum with applications. Probab. Theory Relat. Fields 47 (6), 3127-3156.
  2. Luo, Y. and M. Spindler (2016, February). High-Dimensional L 2 Boosting: Rate of Convergence. arXiv e-prints , arXiv:1602.08927. · arXiv

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Authors
Semenova, V., & Chernozhukov, V.
Affiliations
  • University of California, Berkeley (US)
  • Massachusetts Institute of Technology (US)
Corresponding author
  • Semenova, Vira
  • Chernozhukov, Victor
Venue
The Econometrics Journal
Published
2020-08-29
Volume
24
Issue
2
Pages
264-289
ISSN
  • 1368-4221 (ISSN-L)
  • 1368-423X
OpenAlex
W3048841595
Cited by
167
References
63
Citations by year
2026: 30 · 2025: 40 · 2024: 25 · 2023: 25 · 2022: 25 · 2021: 14 · 2020: 3 · 2019: 4 · 2018: 1
FWCI
11.81
Type
journal article
Language
en
Open access
Locations
  • Econometrics Journal (publishedVersion)
  • arXiv (Cornell University) (submittedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • DSpace@MIT (Massachusetts Institute of Technology) (submittedVersion, cc-by-nc-sa)
  • arXiv (Cornell University)
Topics
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
Keywords
conditional average treatment effect, best linear predictor, Neyman orthogonality, nuisance parameter estimation, simultaneous inference, basis function expansion, confidence bands, price elasticity

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