CATE meets ML

Artikel

For treatment effects—one of the core issues in modern econometric analysis—prediction and estimation are two sides of the same coin. As it turns out, machine learning methods are the tool for generalized prediction models. Combined with econometric theory, they allow us to estimate not only the average but a personalized treatment effect—the conditional average treatment effect (CATE). In this tutorial, we give an overview of novel methods, explain them in detail, and apply them via Quantlets in real data applications. We study the effect that microcredit availability has on the amount of money borrowed and if 401(k) pension plan eligibility has an impact on net financial assets, as two empirical examples. The presented toolbox of methods contains meta-learners, like the doubly-robust, R-, T- and X-learner, and methods that are specially designed to estimate the CATE like the causal BART and the generalized random forest. In both, the microcredit and 401(k) example, we find a positive treatment effect for all observations but conflicting evidence of treatment effect heterogeneity. An additional simulation study, where the true treatment effect is known, allows us to compare the different methods and to observe patterns and similarities.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Digital Finance ; ISSN: 2524-6186 ; Volume: 3 ; Year: 2021 ; Issue: 2 ; Pages: 99-148 ; Cham: Springer International Publishing

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Household Saving; Personal Finance ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: Causal inference ; CATE ; Machine learning ; Tutorial

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Jacob, Daniel
• Ereignis: Veröffentlichung
• (wer): Springer International Publishing
• (wo): Cham
• (wann): 2021

Weitere Informationen

• DOI: doi:10.1007/s42521-021-00033-7
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ