Double Machine Learning and Automated Confounder Selection -- A Cautionary Tale

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Tác giả: Itamar Caspi, Paul Hünermund, Beyers Louw

Ngôn ngữ: eng

Ký hiệu phân loại: 006.31 Machine learning

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 167678

Comment: v4: published versionDouble machine learning (DML) has become an increasingly popular tool for automated variable selection in high-dimensional settings. Even though the ability to deal with a large number of potential covariates can render selection-on-observables assumptions more plausible, there is at the same time a growing risk that endogenous variables are included, which would lead to the violation of conditional independence. This paper demonstrates that DML is very sensitive to the inclusion of only a few "bad controls" in the covariate space. The resulting bias varies with the nature of the theoretical causal model, which raises concerns about the feasibility of selecting control variables in a data-driven way.
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