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Program evaluation with high-dimensional data

Authors: Alexandre Belloni , Victor Chernozhukov , Ivan Fernandez-Val and Christian Hansen
Date: 22 September 2015
Type: cemmap Working Paper, CWP55/15
DOI: 10.1920/wp.cem.2015.5515

Abstract

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment effects, and function-valued outcomes. Our framework covers the special case of exogenous receipt of treatment, either conditional on controls or unconditionally as in randomized control trials. In the latter case, our approach produces efficient estimators and honest bands for (functional) average treatment effects (ATE) and quantile treatment effects (QTE). To make informative inference possible, we assume that key reduced form predictive relationships are approximately sparse. This assumption allows the use of regularization and selection methods to estimate those relations, and we provide methods for post-regularization and post-selection inference that are uniformly valid (honest) across a wide-range of models. We show that a key ingredient enabling honest inference is the use of orthogonal or doubly robust moment conditions in estimating certain reduced form functional parameters. We illustrate the use of the proposed methods with an application to estimating the effect of 401(k) eligibility and participation on accumulated assets. The results on program evaluation are obtained as a consequence of more general results on honest inference in a general moment condition framework, where we work with possibly a continuum of moments. We provide results on honest inference for (function-valued) parameters within this general framework where modern machine learning methods are used to fit the nonparametric/highdimensional components of the model. These include a number of supporting new results that are of major independent interest: namely, we (1) prove uniform validity of a multiplier bootstrap, (2) offer a uniformly valid functional delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes.

Download full version
New version:
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen March 2016, Program evaluation and causal inference with high-dimensional data, cemmap Working Paper, CWP13/16, The Institute for Fiscal Studies
Previous version:
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen August 2014, Program evaluation with high-dimensional data, cemmap Working Paper, CWP33/14, IFS
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen December 2013, Program evaluation with high-dimensional data, cemmap Working Paper, CWP77/13, Institute for Fiscal Studies
Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen November 2013, Program evaluation with high-dimensional data, cemmap Working Paper, CWP57/13, Institute for Fiscal Studies

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