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Program evaluation and causal inference with high-dimensional data

Authors: Alexandre Belloni , Victor Chernozhukov , Ivan Fernandez-Val and Christian Hansen
Date: 19 March 2016
Type: cemmap Working Paper, CWP13/16
DOI: 10.1920/wp.cem.2016.1316


In this paper, we provide efficient estimators and honest con fidence bands for a variety of treatment eff ects including local average (LATE) and local quantile treatment eff ects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment, heterogeneous treatment e ffects, 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 ecient estimators and honest bands for (functional) average treatment eff ects (ATE) and quantile treatment eff ects (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 eff ect 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, which arises from structural equation models in econometrics. Here too the crucial ingredient is the use of orthogonal moment conditions, which can be constructed from the initial moment conditions. We provide results on honest inference for (function-valued) parameters within this general framework where any high-quality, modern machine learning methods can be used to learn the nonparametric/high-dimensional components of the model. These include a number of supporting auxilliary results that are of major independent interest: namely, we (1) prove uniform validity of a multiplier bootstrap, (2) o er a uniformly valid functional delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes.

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Previous version:
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen September 2015, Program evaluation with high-dimensional data, cemmap Working Paper, Institute for Fiscal Studies

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