Michael C. Knaus, Michael Lechner, Anthony Strittmatter
arXiv 31 Oct 2018 · Econometrics · 1 citations (OpenAlex)
arXiv:1810.13237 · PDF · DOI · OpenAlex · Extracted main text
We investigate the finite sample performance of causal machine learning estimators for heterogeneous causal effects at different aggregation levels. We employ an Empirical Monte Carlo Study that relies on arguably realistic data generation processes (DGPs) based on actual data. We consider 24 different DGPs, eleven different causal machine learning estimators, and three aggregation levels of the estimated effects. In the main DGPs, we allow for selection into treatment based on a rich set of observable covariates. We provide evidence that the estimators can be categorized into three groups. The first group performs consistently well across all DGPs and aggregation levels. These estimators have multiple steps to account for the selection into the treatment and the outcome process. The second group shows competitive performance only for particular DGPs. The third group is clearly outperformed by the other estimators.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Powers2018 APACrefauthors Powers, S. , Qian, J. , Jung, K. , Schuler… 20185 | 1.000 | 6 | 5 | 100% |
| 2 | Nie2017 APACrefauthors Nie, X. \ Wager, S. APACrefauthors \ 201712 | 1.000 | 6 | 3 | 100% |
| 3 | Athey2017a APACrefauthors Athey, S. , Tibshirani, J. \ Wager, S. APA… (2018) 2018 | 0.935 | 11 | 5 | 82% |
| 4 | Chen2017 APACrefauthors Chen, S. , Tian, L. , Cai, T. \ Yu, M. APACr… (2017) 2017 | 0.928 | 4 | 3 | 100% |
| 5 | Chernozhukov2018 APACrefauthors Chernozhukov, V. , Chetverikov, D. ,… (2018) 2018 | 0.928 | 4 | 3 | 100% |
| 6 | Tian2014 APACrefauthors Tian, L. , Alizadeh, A A. , Gentles, A J. \… 201410 | 0.874 | 5 | 2 | 100% |
| 7 | Wendling2018 APACrefauthors Wendling, T. , Jung, K. , Callahan, A. ,… (2018) 20186 | 0.874 | 5 | 2 | 100% |
| 8 | Athey2016 APACrefauthors Athey, S. \ Imbens, G W. APACrefauthors \ (2016) 20167 | 0.843 | 3 | 3 | 100% |
| 9 | Huber2017 APACrefauthors Huber, M. , Lechner, M. \ Mellace, G. APACr… (2017) 2017 | 0.737 | 5 | 3 | 40% |
| 10 | Hill2011 APACrefauthors Hill, J L. APACrefauthors \ (2011) 2011 | 0.737 | 3 | 3 | 67% |
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