Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects
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- Daniel Jacob, 2021. "CATE meets ML," Digital Finance, Springer, vol. 3(2), pages 99-148, June.
- Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
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- David BENATIA, 2020. "Ring the Alarm! Electricity Markets, Renewables, and the Pandemic," Working Papers 2020-22, Center for Research in Economics and Statistics, revised 09 Nov 2020.
- David Benatia, 2022. "Ring the alarm! Electricity markets, renewables, and the pandemic," Post-Print hal-03523180, HAL.
- Daniel Jacob, 2021. "CATE meets ML -- The Conditional Average Treatment Effect and Machine Learning," Papers 2104.09935, arXiv.org, revised Apr 2021.
- Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
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More about this item
Keywords
causal inference; sample splitting; cross-fitting; sample averaging; machine learning; simulation study;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2021-03-08 (Big Data)
- NEP-CMP-2021-03-08 (Computational Economics)
- NEP-ECM-2021-03-08 (Econometrics)
- NEP-ORE-2021-03-08 (Operations Research)
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