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Automatic Double Machine Learning for Continuous Treatment Effects

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  • Sylvia Klosin

Abstract

In this paper, we introduce and prove asymptotic normality for a new nonparametric estimator of continuous treatment effects. Specifically, we estimate the average dose-response function - the expected value of an outcome of interest at a particular level of the treatment level. We utilize tools from both the double debiased machine learning (DML) and the automatic double machine learning (ADML) literatures to construct our estimator. Our estimator utilizes a novel debiasing method that leads to nice theoretical stability and balancing properties. In simulations our estimator performs well compared to current methods.

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  • Sylvia Klosin, 2021. "Automatic Double Machine Learning for Continuous Treatment Effects," Papers 2104.10334, arXiv.org.
    • Handle: RePEc:arx:papers:2104.10334
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    References listed on IDEAS

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    9. Kyle Colangelo & Ying-Ying Lee, 2020. "Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments," Papers 2004.03036, arXiv.org, revised Sep 2023.
    10. Sitian Liu & Yichen Su, 2020. "The Geography of Jobs and the Gender Wage Gap," Working Papers 2028, Federal Reserve Bank of Dallas.
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    Cited by:

    1. Sylvia Klosin & Max Vilgalys, 2022. "Estimating Continuous Treatment Effects in Panel Data using Machine Learning with a Climate Application," Papers 2207.08789, arXiv.org, revised Sep 2023.
    2. Michael Lechner, 2023. "Causal Machine Learning and its use for public policy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-15, December.
    3. Vira Semenova & Matt Goldman & Victor Chernozhukov & Matt Taddy, 2023. "Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence," Quantitative Economics, Econometric Society, vol. 14(2), pages 471-510, May.
    4. David Bruns-Smith & Oliver Dukes & Avi Feller & Elizabeth L. Ogburn, 2023. "Augmented balancing weights as linear regression," Papers 2304.14545, arXiv.org, revised Aug 2023.

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