Nonparametric Estimation of Heterogeneous Treatment Effects: From Theory to Learning Algorithms
This work addresses the challenge of selecting effective meta-learners for treatment effect estimation in empirical sciences, though it is incremental as it builds on existing strategies.
The paper tackles the problem of choosing between nonparametric meta-learners for heterogeneous treatment effect estimation by theoretically analyzing four strategies and translating them into neural network-based algorithms, demonstrating their relative strengths in simulations.
The need to evaluate treatment effectiveness is ubiquitous in most of empirical science, and interest in flexibly investigating effect heterogeneity is growing rapidly. To do so, a multitude of model-agnostic, nonparametric meta-learners have been proposed in recent years. Such learners decompose the treatment effect estimation problem into separate sub-problems, each solvable using standard supervised learning methods. Choosing between different meta-learners in a data-driven manner is difficult, as it requires access to counterfactual information. Therefore, with the ultimate goal of building better understanding of the conditions under which some learners can be expected to perform better than others a priori, we theoretically analyze four broad meta-learning strategies which rely on plug-in estimation and pseudo-outcome regression. We highlight how this theoretical reasoning can be used to guide principled algorithm design and translate our analyses into practice by considering a variety of neural network architectures as base-learners for the discussed meta-learning strategies. In a simulation study, we showcase the relative strengths of the learners under different data-generating processes.