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Double machine learning and automated confounder selection: A cautionary tale

Author

Listed:
  • Hünermund Paul

    (Copenhagen Business School, Kilevej 14A, Frederiksberg, 2000, Denmark)

  • Louw Beyers

    (Maastricht University, Tongersestraat 53, 6211 LM Maastricht, Netherlands)

  • Caspi Itamar

    (Bank of Israel, P.O. Box 780, 91007, Jerusalem, Israel)

Abstract

Double machine learning (DML) has become an increasingly popular tool for automated variable selection in high-dimensional settings. Even though the ability to deal with a large number of potential covariates can render selection-on-observables assumptions more plausible, there is at the same time a growing risk that endogenous variables are included, which would lead to the violation of conditional independence. This article demonstrates that DML is very sensitive to the inclusion of only a few “bad controls” in the covariate space. The resulting bias varies with the nature of the theoretical causal model, which raises concerns about the feasibility of selecting control variables in a data-driven way.

Suggested Citation

  • Hünermund Paul & Louw Beyers & Caspi Itamar, 2023. "Double machine learning and automated confounder selection: A cautionary tale," Journal of Causal Inference, De Gruyter, vol. 11(1), pages 1-12, January.
    • Handle: RePEc:bpj:causin:v:11:y:2023:i:1:p:12:n:1
    DOI: 10.1515/jci-2022-0078
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    Cited by:

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