Double machine learning-based programme evaluation under unconfoundedness

• Published in: The Econometrics Journal
• Main Author: Knaus, Michael C
• Other Authors: Swiss National Science Foundation
• Format: Article in Journal/Newspaper
• Language: English
• Published: Oxford University Press (OUP) 2022
• Subjects: DML
• Online Access: http://dx.doi.org/10.1093/ectj/utac015; https://academic.oup.com/ectj/advance-article-pdf/doi/10.1093/ectj/utac015/44010461/utac015.pdf; https://academic.oup.com/ectj/article-pdf/25/3/602/45842097/utac015.pdf

Summary This paper reviews, applies, and extends recently proposed methods based on double machine learning (DML) with a focus on programme evaluation under unconfoundedness. DML-based methods leverage flexible prediction models to adjust for confounding variables in the estimation of (a) standard average effects, (b) different forms of heterogeneous effects, and (c) optimal treatment assignment rules. An evaluation of multiple programmes of the Swiss Active Labour Market Policy illustrates how DML-based methods enable a comprehensive programme evaluation. Motivated by extreme individualised treatment effect estimates of the DR-learner, we propose the normalised DR-learner (NDR-learner) to address this issue. The NDR-learner acknowledges that individualised effect estimates can be stabilised by an individualised normalisation of inverse probability weights.