Debiased Machine Learning without Sample-Splitting for Stable Estimators
稳定估计器下无需样本分割的去偏机器学习AI 解读 ↓
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稳定估计器下无需样本分割的去偏机器学习AI 解读 ↓
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Estimation and inference on causal parameters is typically reduced to a generalized method of moments problem, which involves auxiliary functions that correspond to solutions to a regression or classification problem. Recent line of work on debiased machine learning shows how one can use generic machine learning estimators for these auxiliary problems, while maintaining asymptotic normality and root-$n$ consistency of the target parameter of interest, while only requiring mean-squared-error guarantees from the auxiliary estimation algorithms. The literature typically requires that these auxiliary problems are fitted on a separate sample or in a cross-fitting manner. We show that when these auxiliary estimation algorithms satisfy natural leave-one-out stability properties, then sample splitting is not required. This allows for sample re-use, which can be beneficial in moderately sized sample regimes. For instance, we show that the stability properties that we propose are satisfied for ensemble bagged estimators, built via sub-sampling without replacement, a popular technique in machine learning practice.
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Longitudinal observational data are often subject to informative missingness. For example, in healthcare research using electronic health records, covariates and outcomes are measured only when patients interact with the healthcare system. Whether these data are observed usually depends on the unobserved variable values themselves, introducing a common form of data missing not at random. We develop identification and estimation methods for the effects of longitudinal…
协变量漂移下外部有效性的简单稳健性度量
This paper studies the robustness of estimated policy effects to changes in the distribution of covariates, a key determinant of the external validity of (quasi)experimental results. I propose a novel robustness metric δ ∗ which measures the smallest covariate shift needed to invalidate an empirical claim about the policy effect (e.g., AT E > 0). I estimate δ ∗ via de-biased GMM, achieving a parametric rate of convergence while accommodating machine-learning estimators of…
靶向深度生存对比:神经网络下处理特定生存收益的有效推断
Neural survival models are increasingly asked to support counterfactual claims---how much a treatment would change survival in a population---rather than only prognostic risk scores. Answering such questions from observational data requires valid inference for treatment-specific survival contrasts under confounding and covariate-dependent censoring, targets for which standard deep survival estimators are biased and provide no honest uncertainty. We propose Targeted Deep…
动态面板处理效应的双重/去偏机器学习
We introduce a novel framework for causal inference in dynamic panel data that extends the cross-sectional Double/Debiased Machine Learning (DML) approach. The method rests on a partially linear dynamic panel model with two-way fixed effects for potential outcomes and readily accommodates binary, multi-valued, or continuous treatments. To translate potential outcome models into an estimable form, we introduce dynamic conditional independence assumptions. By integrating…
条件矩限制的局部稳健核设定检验
We develop kernel-based specification tests for semiparametric conditional moment models with high-dimensional nuisance parameters, extending existing conditional moment tests---which typically require asymptotically linear nuisance estimators---to accommodate modern machine-learning methods. The proposed locally robust kernel tests combine Neyman-orthogonal moments, cross-fitting, and reproducing kernel Hilbert space methods, yielding inference that is first-order…
Napkin 因果图下的因果推断
Unmeasured confounding can render identification strategies based on adjustment functionals invalid. We study the "Napkin" graph, a causal structure that encapsulates features of M-bias, instrumental variables, and classical back-door and front-door settings, yet identifies the average treatment effect through a nonstandard ratio of two g-formulas. We develop influence-function-based estimators for this functional, including doubly-robust one-step and targeted minimum…