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Model Averaging and Double Machine Learning

Author

Listed:
  • Ahrens, Achim

    (ETH Zurich)

  • Hansen, Christian B.

    (University of Chicago)

  • Schaffer, Mark E

    (Heriot-Watt University, Edinburgh)

  • Wiemann, Thomas

    (University of Chicago)

Abstract

This paper discusses pairing double/debiased machine learning (DDML) with stacking, a model averaging method for combining multiple candidate learners, to estimate structural parameters. We introduce two new stacking approaches for DDML: short-stacking exploits the cross-fitting step of DDML to substantially reduce the computational burden and pooled stacking enforces common stacking weights over cross-fitting folds. Using calibrated simulation studies and two applications estimating gender gaps in citations and wages, we show that DDML with stacking is more robust to partially unknown functional forms than common alternative approaches based on single pre-selected learners. We provide Stata and R software implementing our proposals.

Suggested Citation

  • Ahrens, Achim & Hansen, Christian B. & Schaffer, Mark E & Wiemann, Thomas, 2024. "Model Averaging and Double Machine Learning," IZA Discussion Papers 16714, Institute of Labor Economics (IZA).
    • Handle: RePEc:iza:izadps:dp16714
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    More about this item

    Keywords

    causal inference; partially linear model; high-dimensional models; super learners; nonparametric estimation;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • J01 - Labor and Demographic Economics - - General - - - Labor Economics: General
    • J08 - Labor and Demographic Economics - - General - - - Labor Economics Policies

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