Program Evaluation and Causal Inference With High-Dimensional Data
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 can handle very many control variables, endogenous receipt of treatment, heterogeneou...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
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The Econometric Society
2018
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| Online Access: | http://hdl.handle.net/1721.1/113842 https://orcid.org/0000-0002-3250-6714 |
| _version_ | 1811096432838443008 |
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| author | Belloni, Alberto Chernozhukov, Victor V Fernandez-Val, Ivan Hansen, Christian B. |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Belloni, Alberto Chernozhukov, Victor V Fernandez-Val, Ivan Hansen, Christian B. |
| author_sort | Belloni, Alberto |
| collection | MIT |
| description | 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 can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment effects, and function-valued outcomes. Our framework covers the special case of exogenous receipt of treatment, either conditional on controls or unconditionally as in randomized control trials. In the latter case, our approach produces efficient estimators and honest bands for (functional) average treatment effects (ATE) and quantile treatment effects (QTE). To make informative inference possible, we assume that key reduced-form predictive relationships are approximately sparse. This assumption allows the use of regularization and selection methods to estimate those relations, and we provide methods for post-regularization and post-selection inference that are uniformly valid (honest) across a wide range of models. We show that a key ingredient enabling honest inference is the use of orthogonal or doubly robust moment conditions in estimating certain reduced-form functional parameters. We illustrate the use of the proposed methods with an application to estimating the effect of 401(k) eligibility and participation on accumulated assets. The results on program evaluation are obtained as a consequence of more general results on honest inference in a general moment-condition framework, which arises from structural equation models in econometrics. Here, too, the crucial ingredient is the use of orthogonal moment conditions, which can be constructed from the initial moment conditions. 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. These include a number of supporting auxiliary results that are of major independent interest: namely, we (1) prove uniform validity of a multiplier bootstrap, (2) offer a uniformly valid functional delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes. |
| first_indexed | 2024-09-23T16:43:35Z |
| format | Article |
| id | mit-1721.1/113842 |
| institution | Massachusetts Institute of Technology |
| last_indexed | 2024-09-23T16:43:35Z |
| publishDate | 2018 |
| publisher | The Econometric Society |
| record_format | dspace |
| spelling | mit-1721.1/1138422022-09-29T21:03:33Z Program Evaluation and Causal Inference With High-Dimensional Data Belloni, Alberto Chernozhukov, Victor V Fernandez-Val, Ivan Hansen, Christian B. Massachusetts Institute of Technology. Department of Economics Belloni, Alberto Chernozhukov, Victor V Fernandez-Val, Ivan Hansen, Christian B. 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 can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment effects, and function-valued outcomes. Our framework covers the special case of exogenous receipt of treatment, either conditional on controls or unconditionally as in randomized control trials. In the latter case, our approach produces efficient estimators and honest bands for (functional) average treatment effects (ATE) and quantile treatment effects (QTE). To make informative inference possible, we assume that key reduced-form predictive relationships are approximately sparse. This assumption allows the use of regularization and selection methods to estimate those relations, and we provide methods for post-regularization and post-selection inference that are uniformly valid (honest) across a wide range of models. We show that a key ingredient enabling honest inference is the use of orthogonal or doubly robust moment conditions in estimating certain reduced-form functional parameters. We illustrate the use of the proposed methods with an application to estimating the effect of 401(k) eligibility and participation on accumulated assets. The results on program evaluation are obtained as a consequence of more general results on honest inference in a general moment-condition framework, which arises from structural equation models in econometrics. Here, too, the crucial ingredient is the use of orthogonal moment conditions, which can be constructed from the initial moment conditions. 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. These include a number of supporting auxiliary results that are of major independent interest: namely, we (1) prove uniform validity of a multiplier bootstrap, (2) offer a uniformly valid functional delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes. 2018-02-20T20:13:24Z 2018-02-20T20:13:24Z 2017-01 2018-02-20T17:29:18Z Article http://purl.org/eprint/type/JournalArticle 0012-9682 1468-0262 http://hdl.handle.net/1721.1/113842 Belloni, A. et al. “Program Evaluation and Causal Inference With High-Dimensional Data.” Econometrica 85, 1 (2017): 233–298 https://orcid.org/0000-0002-3250-6714 http://dx.doi.org/10.3982/ECTA12723 Econometrica Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf The Econometric Society arXiv |
| spellingShingle | Belloni, Alberto Chernozhukov, Victor V Fernandez-Val, Ivan Hansen, Christian B. Program Evaluation and Causal Inference With High-Dimensional Data |
| title | Program Evaluation and Causal Inference With High-Dimensional Data |
| title_full | Program Evaluation and Causal Inference With High-Dimensional Data |
| title_fullStr | Program Evaluation and Causal Inference With High-Dimensional Data |
| title_full_unstemmed | Program Evaluation and Causal Inference With High-Dimensional Data |
| title_short | Program Evaluation and Causal Inference With High-Dimensional Data |
| title_sort | program evaluation and causal inference with high dimensional data |
| url | http://hdl.handle.net/1721.1/113842 https://orcid.org/0000-0002-3250-6714 |
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