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Modified Causal Forests for Estimating Heterogeneous Causal Effects

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  • Michael Lechner

Abstract

Uncovering the heterogeneity of causal effects of policies and business decisions at various levels of granularity provides substantial value to decision makers. This paper develops new estimation and inference procedures for multiple treatment models in a selection-on-observables framework by modifying the Causal Forest approach suggested by Wager and Athey (2018) in several dimensions. The new estimators have desirable theoretical, computational and practical properties for various aggregation levels of the causal effects. While an Empirical Monte Carlo study suggests that they outperform previously suggested estimators, an application to the evaluation of an active labour market programme shows the value of the new methods for applied research.

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  • Michael Lechner, 2018. "Modified Causal Forests for Estimating Heterogeneous Causal Effects," Papers 1812.09487, arXiv.org, revised Jul 2019.
    • Handle: RePEc:arx:papers:1812.09487
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    References listed on IDEAS

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    1. Michael Lechner & Conny Wunsch, 2011. "Sensitivity of Matching-Based Program Evaluations to the Availability of Control Variables," CESifo Working Paper Series 3381, CESifo.
    2. Arun Advani & Tymon Sloczynski, 2013. "Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies," CeMMAP working papers CWP64/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Sokbae Lee & Ryo Okui & Yoon†Jae Whang, 2017. "Doubly robust uniform confidence band for the conditional average treatment effect function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1207-1225, November.
    4. Lechner, Michael & Wunsch, Conny, 2013. "Sensitivity of matching-based program evaluations to the availability of control variables," Labour Economics, Elsevier, vol. 21(C), pages 111-121.
    5. 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.
    6. Anthony Strittmatter, 2018. "What Is the Value Added by Using Causal Machine Learning Methods in a Welfare Experiment Evaluation?," Papers 1812.06533, arXiv.org, revised Mar 2019.
    7. Vikas Ramachandra, 2018. "Deep Learning for Causal Inference," Papers 1803.00149, arXiv.org.
    8. Alexandre Belloni & Victor Chernozhukov & Ying Wei, 2016. "Post-Selection Inference for Generalized Linear Models With Many Controls," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 606-619, October.
    9. Miruna Oprescu & Vasilis Syrgkanis & Zhiwei Steven Wu, 2018. "Orthogonal Random Forest for Causal Inference," Papers 1806.03467, arXiv.org, revised Sep 2019.
    10. Jason Abrevaya & Yu-Chin Hsu & Robert P. Lieli, 2015. "Estimating Conditional Average Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 485-505, October.
    11. Michael Lechner & Anthony Strittmatter, 2019. "Practical procedures to deal with common support problems in matching estimation," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 193-207, February.
    12. Shuai Chen & Lu Tian & Tianxi Cai & Menggang Yu, 2017. "A general statistical framework for subgroup identification and comparative treatment scoring," Biometrics, The International Biometric Society, vol. 73(4), pages 1199-1209, December.
    13. Michael Gerfin & Michael Lechner, 2002. "A Microeconometric Evaluation of the Active Labour Market Policy in Switzerland," Economic Journal, Royal Economic Society, vol. 112(482), pages 854-893, October.
    14. Michael Knaus & Michael Lechner & Anthony Strittmatter, 2017. "Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach," Papers 1709.10279, arXiv.org, revised May 2018.
    15. A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
    16. Arun Advani & Toru Kitagawa & Tymon Słoczyński, 2019. "Mostly harmless simulations? Using Monte Carlo studies for estimator selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 893-910, September.
    17. Xinkun Nie & Stefan Wager, 2017. "Quasi-Oracle Estimation of Heterogeneous Treatment Effects," Papers 1712.04912, arXiv.org, revised Aug 2020.
    18. Huber, Martin & Lechner, Michael & Wunsch, Conny, 2013. "The performance of estimators based on the propensity score," Journal of Econometrics, Elsevier, vol. 175(1), pages 1-21.
    19. Matt Taddy & Matt Gardner & Liyun Chen & David Draper, 2016. "A Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 661-672, October.
    20. Guido W. Imbens, 2004. "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 4-29, February.
    21. Lu Tian & Ash A. Alizadeh & Andrew J. Gentles & Robert Tibshirani, 2014. "A Simple Method for Estimating Interactions Between a Treatment and a Large Number of Covariates," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(508), pages 1517-1532, December.
    22. Martin Huber & Michael Lechner & Giovanni Mellace, 2017. "Why Do Tougher Caseworkers Increase Employment? The Role of Program Assignment as a Causal Mechanism," The Review of Economics and Statistics, MIT Press, vol. 99(1), pages 180-183, March.
    23. Jonathan M.V. Davis & Sara B. Heller, 2017. "Using Causal Forests to Predict Treatment Heterogeneity: An Application to Summer Jobs," American Economic Review, American Economic Association, vol. 107(5), pages 546-550, May.
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    Citations

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    Cited by:

    1. Faltings, Richard & Krumer, Alex & Lechner, Michael, 2019. "Rot-Jaune-Verde. Language and Favoritism: Evidence from Swiss Soccer," Economics Working Paper Series 1915, University of St. Gallen, School of Economics and Political Science.
    2. Knaus, Michael C., 2020. "Double Machine Learning based Program Evaluation under Unconfoundedness," Economics Working Paper Series 2004, University of St. Gallen, School of Economics and Political Science.
    3. Michael Lechner & Gabriel Okasa, 2019. "Random Forest Estimation of the Ordered Choice Model," Papers 1907.02436, arXiv.org, revised Jan 2020.
    4. Cockx, Bart & Lechner, Michael & Bollens, Joost, 2019. "Priority to Unemployed Immigrants? A Causal Machine Learning Evaluation of Training in Belgium," IZA Discussion Papers 12875, Institute of Labor Economics (IZA).
    5. Michael Zimmert & Michael Lechner, 2019. "Nonparametric estimation of causal heterogeneity under high-dimensional confounding," Papers 1908.08779, arXiv.org.

    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • J68 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Public Policy

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