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A Comment on: “Fisher–Schultz Lecture: Generic Machine Learning Inference on Heterogeneous Treatment Effects in Randomized Experiments, With an Application to Immunization in India” by Victor Chernozhukov, Mert Demirer, Esther Duflo, and Iván Fernández‐Val

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  • Stefan Wager

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. This note was prepared as a comment on the Fisher–Schultz paper by Chernozhukov, Demirer, Duflo, and Fernández‐Val, forthcoming in Econometrica.

Suggested Citation

  • Stefan Wager, 2025. "A Comment on: “Fisher–Schultz Lecture: Generic Machine Learning Inference on Heterogeneous Treatment Effects in Randomized Experiments, With an Application to Immunization in India” by Victor Chernozhukov, Mert Demirer, Esther Duflo, and Iván Fernánd," Econometrica, Econometric Society, vol. 93(4), pages 1171-1176, July.
    • Handle: RePEc:wly:emetrp:v:93:y:2025:i:4:p:1171-1176
    DOI: 10.3982/ECTA23293
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    References listed on IDEAS

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    1. Steve Yadlowsky & Scott Fleming & Nigam Shah & Emma Brunskill & Stefan Wager, 2025. "Evaluating Treatment Prioritization Rules via Rank-Weighted Average Treatment Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 120(549), pages 38-51, January.
    2. Keisuke Hirano & Jack R. Porter, 2012. "Impossibility Results for Nondifferentiable Functionals," Econometrica, Econometric Society, vol. 80(4), pages 1769-1790, July.
    3. Lihui Zhao & Lu Tian & Tianxi Cai & Brian Claggett & L. J. Wei, 2013. "Effectively Selecting a Target Population for a Future Comparative Study," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 527-539, June.
    4. Charles F. Manski, 2004. "Statistical Treatment Rules for Heterogeneous Populations," Econometrica, Econometric Society, vol. 72(4), pages 1221-1246, July.
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