Double/Debiased Machine Learning for Treatment and Causal Parameters — mentioned by whoisnnamdi

Fri, 16 Aug 2019 04:09:56 GMT

Cool stuff, thanks for sharing publicly. Did you all consider using Double Selection [1] or Double Machine Learning [2]? The reason I ask is that your approach is very reminiscent of a Lasso style regression where you first run lasso for feature selection then re-run a normal OLS with only those controls included (Post-Lasso). This is somewhat problematic because Lasso has a tendency to drop too many controls if they are too correlated with one another, introducing omitted variable bias. Compounding the issue, some of those variables may be correlated with the treatment variable, which…

Paper and discussion history. A mention is not an endorsement.

Double/Debiased Machine Learning for Treatment and Causal Parameters · HackerPapers discussions

Double/Debiased Machine Learning for Treatment and Causal Parameters — mentioned by whoisnnamdi