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Automatic Double Machine Learning for Continuous Treatment Effects

Econometrics 2021-04-22 v1 Statistics Theory Machine Learning Statistics Theory

Abstract

In this paper, we introduce and prove asymptotic normality for a new nonparametric estimator of continuous treatment effects. Specifically, we estimate the average dose-response function - the expected value of an outcome of interest at a particular level of the treatment level. We utilize tools from both the double debiased machine learning (DML) and the automatic double machine learning (ADML) literatures to construct our estimator. Our estimator utilizes a novel debiasing method that leads to nice theoretical stability and balancing properties. In simulations our estimator performs well compared to current methods.

Keywords

Cite

@article{arxiv.2104.10334,
  title  = {Automatic Double Machine Learning for Continuous Treatment Effects},
  author = {Sylvia Klosin},
  journal= {arXiv preprint arXiv:2104.10334},
  year   = {2021}
}

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30 pages