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Inference for Heterogeneous Treatment Effects with Efficient Instruments and Machine Learning

Published: March 5, 2025 | arXiv ID: 2503.03530v1

By: Cyrill Scheidegger, Zijian Guo, Peter Bühlmann

Potential Business Impact:

Finds true effects when data is tricky.

Business Areas:
A/B Testing Data and Analytics

We introduce a new instrumental variable (IV) estimator for heterogeneous treatment effects in the presence of endogeneity. Our estimator is based on double/debiased machine learning (DML) and uses efficient machine learning instruments (MLIV) and kernel smoothing. We prove consistency and asymptotic normality of our estimator and also construct confidence sets that are more robust towards weak IV. Along the way, we also provide an accessible discussion of the corresponding estimator for the homogeneous treatment effect with efficient machine learning instruments. The methods are evaluated on synthetic and real datasets and an implementation is made available in the R package IVDML.

Repos / Data Links

Page Count
49 pages

Category
Statistics:
Methodology