Saturday, February 11, 2017

Program Evaluation and Causal Inference with High Dimensional Data

Brand new from Econometrica-

Abstract: "In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments.….We provide results on honest inference for (function-valued) parameters within this general framework where any high-quality, machine learning methods (e.g., boosted trees, deep neural networks, random forest, and their aggregated and hybrid versions) can be used to learn the nonparametric/high-dimensional components of the model." Read more...

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