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ELTMLE: Stata module to provide Ensemble Learning Targeted Maximum Likelihood Estimation

Author

Listed:
  • Miguel Angel Luque-Fernandez

    (LSHTM, NCDE, Cancer Survival Group, London, UK)

Programming Language

Stata

Abstract

eltmle is a Stata program implementing the targeted maximum likelihood estimation for the average treatment effect for a binary outcome and binary treatment. eltmle includes the use of a super-learner called from the SuperLearner package v.2.0-21 in R (Polley E., et al. 2011). The Super-Learner uses V-fold cross-validation (10-fold by default) to assess the performance of prediction regarding the potential outcomes and the propensity score as weighted averages of a set of machine learning algorithms. We used the default SuperLearner algorithms implemented in the base installation of the tmle-R package v.1.2.0-5 (Susan G. and Van der Laan M., 2017), which included the following: i) stepwise selection, ii) generalized linear modeling (GLM), iii) a GLM variant that includes second order polynomials and two-by-two interactions of the main terms included in the model. Additionally, eltmle users will have the option to include Bayes Generalized Linear Models and Generalized Additive Models as additional Super-Learner algorithms. Future implementations will offer more advanced machine learning algorithms.

Suggested Citation

  • Miguel Angel Luque-Fernandez, 2017. "ELTMLE: Stata module to provide Ensemble Learning Targeted Maximum Likelihood Estimation," Statistical Software Components S458337, Boston College Department of Economics, revised 04 Jul 2021.
    • Handle: RePEc:boc:bocode:s458337
    Note: This module should be installed from within Stata by typing "ssc install eltmle". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/e/eltmle.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/eltmle.sthlp
    File Function: help file
    Download Restriction: no
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