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}
}
Comments
30 pages