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RieszNet and ForestRiesz: Automatic Debiased Machine Learning with Neural Nets and Random Forests

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  • Victor Chernozhukov
  • Whitney K. Newey
  • Victor Quintas-Martinez
  • Vasilis Syrgkanis

Abstract

Many causal and policy effects of interest are defined by linear functionals of high-dimensional or non-parametric regression functions. $\sqrt{n}$-consistent and asymptotically normal estimation of the object of interest requires debiasing to reduce the effects of regularization and/or model selection on the object of interest. Debiasing is typically achieved by adding a correction term to the plug-in estimator of the functional, which leads to properties such as semi-parametric efficiency, double robustness, and Neyman orthogonality. We implement an automatic debiasing procedure based on automatically learning the Riesz representation of the linear functional using Neural Nets and Random Forests. Our method only relies on black-box evaluation oracle access to the linear functional and does not require knowledge of its analytic form. We propose a multitasking Neural Net debiasing method with stochastic gradient descent minimization of a combined Riesz representer and regression loss, while sharing representation layers for the two functions. We also propose a Random Forest method which learns a locally linear representation of the Riesz function. Even though our method applies to arbitrary functionals, we experimentally find that it performs well compared to the state of art neural net based algorithm of Shi et al. (2019) for the case of the average treatment effect functional. We also evaluate our method on the problem of estimating average marginal effects with continuous treatments, using semi-synthetic data of gasoline price changes on gasoline demand.

Suggested Citation

  • Victor Chernozhukov & Whitney K. Newey & Victor Quintas-Martinez & Vasilis Syrgkanis, 2021. "RieszNet and ForestRiesz: Automatic Debiased Machine Learning with Neural Nets and Random Forests," Papers 2110.03031, arXiv.org, revised Jun 2022.
  • Handle: RePEc:arx:papers:2110.03031
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    References listed on IDEAS

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    1. Richard Blundell & Joel Horowitz & Matthias Parey, 2017. "Nonparametric Estimation of a Nonseparable Demand Function under the Slutsky Inequality Restriction," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 291-304, May.
    2. Richard Blundell & Joel L. Horowitz & Matthias Parey, 2012. "Measuring the price responsiveness of gasoline demand: Economic shape restrictions and nonparametric demand estimation," Quantitative Economics, Econometric Society, vol. 3(1), pages 29-51, March.
    3. Susan Athey & Stefan Wager, 2021. "Policy Learning With Observational Data," Econometrica, Econometric Society, vol. 89(1), pages 133-161, January.
    4. Tran Linh & Yiannoutsos Constantin & Wools-Kaloustian Kara & Siika Abraham & van der Laan Mark & Petersen Maya, 2019. "Double Robust Efficient Estimators of Longitudinal Treatment Effects: Comparative Performance in Simulations and a Case Study," The International Journal of Biostatistics, De Gruyter, vol. 15(2), pages 1-27, November.
    5. Marco Carone & Alexander R. Luedtke & Mark J. van der Laan, 2019. "Toward Computerized Efficient Estimation in Infinite-Dimensional Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1174-1190, July.
    6. Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020. "Adversarial Estimation of Riesz Representers," Papers 2101.00009, arXiv.org, revised Jan 2024.
    7. Heejung Bang & James M. Robins, 2005. "Doubly Robust Estimation in Missing Data and Causal Inference Models," Biometrics, The International Biometric Society, vol. 61(4), pages 962-973, December.
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    9. Victor Chernozhukov & Whitney K. Newey & Victor Quintas-Martinez & Vasilis Syrgkanis, 2021. "Automatic Debiased Machine Learning via Riesz Regression," Papers 2104.14737, arXiv.org, revised Mar 2024.
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