EnsembleIV: Creating Instrumental Variables from Ensemble Learners for Robust Statistical Inference with ML-Generated Variables
EnsembleIV：从集成学习器构造工具变量以处理机器学习生成变量
Despite increasing popularity in empirical studies, the integration of machine learning generated variables into regression models for statistical inference suffers from the measurement error problem, which can bias estimation and threaten the validity of inferences. In this paper, we develop a novel approach to alleviate associated estimation biases. Our proposed approach, EnsembleIV, creates valid and strong instrumental variables from weak learners in an ensemble model,…