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DDML: Stata module for Double/Debiased Machine Learning

Author

Listed:
  • Achim Ahrens

    (ETH Zürich)

  • Christian B. Hansen

    (University of Chicago)

  • Mark E Schaffer

    (Heriot-Watt University)

  • Thomas Wiemann

    (University of Chicago)

Programming Language

Stata

Abstract

The package ddml implements Double/De-biased Machine Learning for Stata. Five different econometric models are supported, allowing for flexible estimation of causal effects of possibly endogenous variables in settings with unknown functional forms and/or many exogenous variables. ddml is compatible with many existing supervised machine learning programs in Stata.

Suggested Citation

  • Achim Ahrens & Christian B. Hansen & Mark E Schaffer & Thomas Wiemann, 2023. "DDML: Stata module for Double/Debiased Machine Learning," Statistical Software Components S459175, Boston College Department of Economics, revised 18 Sep 2024.
    • Handle: RePEc:boc:bocode:s459175
    Note: This module should be installed from within Stata by typing "ssc install ddml". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://repec.org/bocode/d/DoubleML_repl.R
    File Function: program code
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    File URL: http://repec.org/bocode/d/DoubleML_repl.do
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    File URL: http://repec.org/bocode/d/DoubleML_results.csv
    File Function: sample data
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    File URL: http://repec.org/bocode/_/_ddml_allcombos.ado
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