Double Machine Learning and Automated Confounder Selection -- A Cautionary Tale
双重机器学习与自动混杂变量选择:一个警示
Double machine learning (DML) has become an increasingly popular tool for automated variable selection in high-dimensional settings. Even though the ability to deal with a large number of potential covariates can render selection-on-observables assumptions more plausible, there is at the same time a growing risk that endogenous variables are included, which would lead to the violation of conditional independence. This paper demonstrates that DML is very sensitive to the…