Related papers: RieszNet and ForestRiesz: Automatic Debiased Machi…
A variety of interesting parameters may depend on high dimensional regressions. Machine learning can be used to estimate such parameters. However estimators based on machine learners can be severely biased by regularization and/or model…
We extend the idea of automated debiased machine learning to the dynamic treatment regime and more generally to nested functionals. We show that the multiply robust formula for the dynamic treatment regime with discrete treatments can be…
Causal and nonparametric estimands in economics and biostatistics can often be viewed as the mean of a linear functional applied to an unknown outcome regression function. Naively learning the regression function and taking a sample mean of…
Many causal and structural effects depend on regressions. Examples include policy effects, average derivatives, regression decompositions, average treatment effects, causal mediation, and parameters of economic structural models. The…
In this paper, we extend the Riesz representation framework to causal inference under sample selection, where both treatment assignment and outcome observability are non-random. Formulating the problem in terms of a Riesz representer…
We develop a direct debiased machine learning framework comprising Neyman targeted estimation and generalized Riesz regression. Our framework unifies Riesz regression for automatic debiased machine learning, covariate balancing, targeted…
Estimating the Riesz representer is central to debiased machine learning for causal and structural parameter estimation. We propose generalized Riesz regression, a unified framework for estimating the Riesz representer by fitting a…
We provide adaptive inference methods, based on $\ell_1$ regularization, for regular (semi-parametric) and non-regular (nonparametric) linear functionals of the conditional expectation function. Examples of regular functionals include…
We develop a unified framework for automatic debiased machine learning (autoDML) for inference on a broad class of statistical parameters. The framework applies to any smooth functional of a nonparametric M-estimand, defined as the…
Efficient estimation of causal and structural parameters can be automated using the Riesz representation theorem and debiased machine learning (DML). We present genriesz, an open-source Python package that implements automatic DML and…
We propose ScoreMatchingRiesz, a family of Riesz representer estimators based on score matching. The Riesz representer is a key nuisance component in debiased machine learning, enabling $\sqrt{n}$-consistent and asymptotically efficient…
Debiased machine learning is a meta algorithm based on bias correction and sample splitting to calculate confidence intervals for functionals, i.e. scalar summaries, of machine learning algorithms. For example, an analyst may desire the…
The Riesz representer is a central object in semiparametric statistics and debiased/doubly-robust estimation. Two literatures in econometrics have highlighted the role for directly estimating Riesz representers: the automatic debiased…
This paper proposes the automatic Doubly Robust Random Forest (DRRF) algorithm for estimating the conditional expectation of a moment functional in the presence of high-dimensional nuisance functions. DRRF extends the automatic debiasing…
Distribution regression, where the goal is to predict a scalar response from a distribution-valued predictor, arises naturally in settings where observations are grouped and outcomes depend on group-level characteristics rather than on…
Combining machine learning with econometric analysis is becoming increasingly prevalent in both research and practice. A common empirical strategy involves the application of predictive modeling techniques to 'mine' variables of interest…
In various statistical settings, the goal is to estimate a function which is restricted by the statistical model only through a conditional moment restriction. Prominent examples include the nonparametric instrumental variable framework for…
Answering causal questions often involves estimating linear functionals of conditional expectations, such as the average treatment effect or the effect of a longitudinal modified treatment policy. By the Riesz representation theorem, these…
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…
This position paper argues that, in debiased machine learning, balancing functions should be derived from the Neyman orthogonal score, not chosen only as functions of covariates. Covariate balancing is effective when the regression error…