ddml: Double/debiased machine learning in Stata

• URL: http://arxiv.org/abs/2301.09397v3
• Date: Sat, 6 Jan 2024 13:17:57 GMT
• Title: ddml: Double/debiased machine learning in Stata
• Authors: Achim Ahrens, Christian B. Hansen, Mark E. Schaffer, Thomas Wiemann
• Abstract summary: We introduce the package ddml for Double/Debiased Machine Learning (DDML) in Stata. ddml is compatible with many existing supervised machine learning programs in Stata.
• Score: 2.8880000014100506
• License: http://creativecommons.org/licenses/by-sa/4.0/
• Abstract: We introduce the package ddml for Double/Debiased Machine Learning (DDML) in Stata. Estimators of causal parameters for five different econometric models are supported, allowing for flexible estimation of causal effects of endogenous variables in settings with unknown functional forms and/or many exogenous variables. ddml is compatible with many existing supervised machine learning programs in Stata. We recommend using DDML in combination with stacking estimation which combines multiple machine learners into a final predictor. We provide Monte Carlo evidence to support our recommendation.

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