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Sequential Validation of Treatment Heterogeneity

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  • Stefan Wager

Abstract

We use the martingale construction of Luedtke and van der Laan (2016) to develop tests for the presence of treatment heterogeneity. The resulting sequential validation approach can be instantiated using various validation metrics, such as BLPs, GATES, QINI curves, etc., and provides an alternative to cross-validation-like cross-fold application of these metrics.

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  • Stefan Wager, 2024. "Sequential Validation of Treatment Heterogeneity," Papers 2405.05534, arXiv.org.
    • Handle: RePEc:arx:papers:2405.05534
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    References listed on IDEAS

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    1. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    2. Dylan J. Foster & Vasilis Syrgkanis, 2019. "Orthogonal Statistical Learning," Papers 1901.09036, arXiv.org, revised Jun 2023.
    3. Charles F. Manski, 2004. "Statistical Treatment Rules for Heterogeneous Populations," Econometrica, Econometric Society, vol. 72(4), pages 1221-1246, July.
    4. Lihui Zhao & Lu Tian & Tianxi Cai & Brian Claggett & L. J. Wei, 2013. "Effectively Selecting a Target Population for a Future Comparative Study," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 527-539, June.
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