This episode focuses on Double/Debiased Machine Learning (DML) methods for statistical inference on predictive and causal effects in complex regression models. It introduces Neyman orthogonality and cross-fitting as key ingredients to mitigate bias in high-dimensional settings, providing theoretical foundations and practical algorithms for Partially Linear Regression Models (PLM) and Interactive Regression Models (IRM). The text illustrates DML's application through case studies on gun ownership and 401(k) eligibility, showcasing how it provides robust estimates even when conventional methods fail due to unobserved confounding or overfitting. The authors highlight the importance of selecting high-quality machine learning estimators and the benefit of ensemble methods to minimize bias and improve the accuracy of causal inference.
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