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Orthogonal Random Forest for Causal Inference

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  • Miruna Oprescu
  • Vasilis Syrgkanis
  • Zhiwei Steven Wu

Abstract

We propose the orthogonal random forest, an algorithm that combines Neyman-orthogonality to reduce sensitivity with respect to estimation error of nuisance parameters with generalized random forests (Athey et al., 2017)--a flexible non-parametric method for statistical estimation of conditional moment models using random forests. We provide a consistency rate and establish asymptotic normality for our estimator. We show that under mild assumptions on the consistency rate of the nuisance estimator, we can achieve the same error rate as an oracle with a priori knowledge of these nuisance parameters. We show that when the nuisance functions have a locally sparse parametrization, then a local $\ell_1$-penalized regression achieves the required rate. We apply our method to estimate heterogeneous treatment effects from observational data with discrete treatments or continuous treatments, and we show that, unlike prior work, our method provably allows to control for a high-dimensional set of variables under standard sparsity conditions. We also provide a comprehensive empirical evaluation of our algorithm on both synthetic and real data.

Suggested Citation

  • Miruna Oprescu & Vasilis Syrgkanis & Zhiwei Steven Wu, 2018. "Orthogonal Random Forest for Causal Inference," Papers 1806.03467, arXiv.org, revised Sep 2019.
  • Handle: RePEc:arx:papers:1806.03467
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    References listed on IDEAS

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    1. Stefan Wager & Susan Athey, 2018. "Estimation and Inference of Heterogeneous Treatment Effects using Random Forests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1228-1242, July.
    2. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
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    6. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey, 2017. "Double/Debiased/Neyman Machine Learning of Treatment Effects," American Economic Review, American Economic Association, vol. 107(5), pages 261-265, May.
    7. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016. "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers 1608.00060, arXiv.org, revised Dec 2017.
    8. Xinkun Nie & Stefan Wager, 2017. "Quasi-Oracle Estimation of Heterogeneous Treatment Effects," Papers 1712.04912, arXiv.org, revised Aug 2020.
    9. Imbens,Guido W. & Rubin,Donald B., 2015. "Causal Inference for Statistics, Social, and Biomedical Sciences," Cambridge Books, Cambridge University Press, number 9780521885881.
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    Citations

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    Cited by:

    1. Kyle Colangelo & Ying-Ying Lee, 2019. "Double debiased machine learning nonparametric inference with continuous treatments," CeMMAP working papers CWP54/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Lechner, Michael, 2018. "Modified Causal Forests for Estimating Heterogeneous Causal Effects," IZA Discussion Papers 12040, Institute of Labor Economics (IZA).
    3. Kyle Colangelo & Ying-Ying Lee, 2020. "Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments," Papers 2004.03036, arXiv.org, revised Sep 2023.
    4. Kyle Colangelo & Ying-Ying Lee, 2019. "Double debiased machine learning nonparametric inference with continuous treatments," CeMMAP working papers CWP72/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Yiyan Huang & Cheuk Hang Leung & Xing Yan & Qi Wu & Nanbo Peng & Dongdong Wang & Zhixiang Huang, 2020. "The Causal Learning of Retail Delinquency," Papers 2012.09448, arXiv.org.
    6. Michael C Knaus & Michael Lechner & Anthony Strittmatter, 2021. "Machine learning estimation of heterogeneous causal effects: Empirical Monte Carlo evidence," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 134-161.
    7. Krikamol Muandet & Wittawat Jitkrittum & Jonas Kubler, 2020. "Kernel Conditional Moment Test via Maximum Moment Restriction," Papers 2002.09225, arXiv.org, revised Jun 2020.
    8. Rolando Gonzales Martinez, 2021. "How good is good? Probabilistic benchmarks and nanofinance+," Papers 2103.01669, arXiv.org.
    9. AmirEmad Ghassami & Andrew Ying & Ilya Shpitser & Eric Tchetgen Tchetgen, 2021. "Minimax Kernel Machine Learning for a Class of Doubly Robust Functionals with Application to Proximal Causal Inference," Papers 2104.02929, arXiv.org, revised Mar 2022.
    10. Nathan Kallus & Xiaojie Mao, 2023. "Stochastic Optimization Forests," Management Science, INFORMS, vol. 69(4), pages 1975-1994, April.
    11. Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot, 2023. "Targeting predictors in random forest regression," International Journal of Forecasting, Elsevier, vol. 39(2), pages 841-868.
    12. Yiyan Huang & Cheuk Hang Leung & Qi Wu & Xing Yan, 2021. "Robust Orthogonal Machine Learning of Treatment Effects," Papers 2103.11869, arXiv.org, revised Dec 2022.
    13. Ziwei Cong & Jia Liu & Puneet Manchanda, 2021. "The Role of "Live" in Livestreaming Markets: Evidence Using Orthogonal Random Forest," Papers 2107.01629, arXiv.org, revised Sep 2022.
    14. Rahul Singh, 2020. "Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments," Papers 2012.10315, arXiv.org, revised Mar 2023.
    15. Ravi Kumar & Shahin Boluki & Karl Isler & Jonas Rauch & Darius Walczak, 2022. "Machine Learning based Framework for Robust Price-Sensitivity Estimation with Application to Airline Pricing," Papers 2205.01875, arXiv.org, revised Dec 2022.
    16. Dylan J. Foster & Vasilis Syrgkanis, 2019. "Orthogonal Statistical Learning," Papers 1901.09036, arXiv.org, revised Jun 2023.
    17. von Zahn, Moritz & Bauer, Kevin & Mihale-Wilson, Cristina & Jagow, Johanna & Speicher, Max & Hinz, Oliver, 2022. "The smart green nudge: Reducing product returns through enriched digital footprints & causal machine learning," SAFE Working Paper Series 363, Leibniz Institute for Financial Research SAFE, revised 2022.
    18. Xiao Liu, 2023. "Dynamic Coupon Targeting Using Batch Deep Reinforcement Learning: An Application to Livestream Shopping," Marketing Science, INFORMS, vol. 42(4), pages 637-658, July.
    19. Rahul Singh & Liyuan Xu & Arthur Gretton, 2020. "Kernel Methods for Causal Functions: Dose, Heterogeneous, and Incremental Response Curves," Papers 2010.04855, arXiv.org, revised Oct 2022.
    20. Gubela, Robin M. & Lessmann, Stefan & Jaroszewicz, Szymon, 2020. "Response transformation and profit decomposition for revenue uplift modeling," European Journal of Operational Research, Elsevier, vol. 283(2), pages 647-661.
    21. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    22. Jann Spiess & Vasilis Syrgkanis & Victor Yaneng Wang, 2021. "Finding Subgroups with Significant Treatment Effects," Papers 2103.07066, arXiv.org, revised Dec 2023.

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