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Doubts about structural equation of DML

Open pkwangwanjun opened this issue 3 years ago • 2 comments

Hi, I have some doubts about structural equation of DML.

In EconML , structural equation of DML like this :

image

But in the Robinsons or Chernozhukov paper, structural equation of DML like this :

image

Are the two equivalent?

By the way , I found another implementation of DML (https://docs.doubleml.org/stable/guide/algorithms.html#algorithm-dml1)

Their algorithm for estimating ATE is as follows :

image

Can you explain the difference between them and you, I hope to get your reply as soon as possible, thank you .

pkwangwanjun avatar Jan 13 '22 03:01 pkwangwanjun

The partial linear regression specification is basically the same, except that they are not estimating a heterogeneous effect and the variable names differ: their D is our T, their X is our W, and they do not have anything corresponding to our X.

The DML procedure is basically what is implemented in our OrthoLearner base class, what we call DML is specialized to the linear regression case.

kbattocchi avatar Jan 13 '22 14:01 kbattocchi

The partial linear regression specification is basically the same, except that they are not estimating a heterogeneous effect and the variable names differ: their D is our T, their X is our W, and they do not have anything corresponding to our X.

The DML procedure is basically what is implemented in our OrthoLearner base class, what we call DML is specialized to the linear regression case.

Hi, but I found that their assumptions are different, does this have no effect?

image

pkwangwanjun avatar Jan 22 '22 16:01 pkwangwanjun