Debiased Machine Learning of Conditional Average Treatment Effects and Other Causal Functions
This provides a method for researchers and practitioners in causal inference to estimate and infer causal parameters with machine learning tools, though it is incremental as it builds on existing orthogonalization and projection techniques.
The paper tackles the problem of estimating and conducting inference on causal functions like conditional average treatment effects using machine learning, by developing a method that adjusts signals for regularization bias and projects them onto basis functions, achieving results that target the structural function when smooth and basis functions are rich.
This paper provides estimation and inference methods for the best linear predictor (approximation) of a structural function, such as conditional average structural and treatment effects, and structural derivatives, based on modern machine learning (ML) tools. We represent this structural function as a conditional expectation of an unbiased signal that depends on a nuisance parameter, which we estimate by modern machine learning techniques. We first adjust the signal to make it insensitive (Neyman-orthogonal) with respect to the first-stage regularization bias. We then project the signal onto a set of basis functions, growing with sample size, which gives us the best linear predictor of the structural function. We derive a complete set of results for estimation and simultaneous inference on all parameters of the best linear predictor, conducting inference by Gaussian bootstrap. When the structural function is smooth and the basis is sufficiently rich, our estimation and inference result automatically targets this function. When basis functions are group indicators, the best linear predictor reduces to group average treatment/structural effect, and our inference automatically targets these parameters. We demonstrate our method by estimating uniform confidence bands for the average price elasticity of gasoline demand conditional on income.