When Prediction Error Is Not Enough: Evaluating Nuisance-Function Prediction for Causal Estimation
预测误差为何不足以评价因果估计中的辅助函数预测
Prediction error is widely used to evaluate nuisance-function estimators in causal inference, but its relationship with causal estimator performance may differ across performance measures. We studied this question in a partially linear model using Monte Carlo simulations. We compared ordinary least squares (OLS), generalized additive models (GAMs), XGBoost, and Double Machine Learning with XGBoost (DML-XGBoost), evaluating nuisance-function prediction error, bias, RMSE, and…