Calibrating doubly-robust estimators with unbalanced treatment assignment

Author:

Daniele Ballinari

Keyword:

Economics, Econometrics, Econometrics (econ.EM), Machine Learning (stat.ML)

journal:

date:

2024-03-03 00:00:00

Abstract

Machine learning methods, particularly the double machine learning (DML) estimator (Chernozhukov et al., 2018), are increasingly popular for the estimation of the average treatment effect (ATE). However, datasets often exhibit unbalanced treatment assignments where only a few observations are treated, leading to unstable propensity score estimations. We propose a simple extension of the DML estimator which undersamples data for propensity score modeling and calibrates scores to match the original distribution. The paper provides theoretical results showing that the estimator retains the DML estimator's asymptotic properties. A simulation study illustrates the finite sample performance of the estimator.

PDF: Calibrating doubly-robust estimators with unbalanced treatment assignment.pdf