multiple hypothesis testing problem

[austindenteh]

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Hi! Is inference on the heterogenous effects estimated using GRF susceptible to multiple hypothesis testing concerns? That is, does one need to perform any adjustments in this regard?

[erikcs]

That depends on what exactly what you are trying to do. You could for example estimate CATE on a training set and evaluate RATE on a test set and to assess heterogeneity and be confident you're not attributing noisy overfit CATE estimates to false heterogeneity.