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ddml: Double/debiased machine learning in Stata

Author

Listed:
  • Christian B. Hansen

    (University of Chicago)

  • Mark E. Schaffer

    (Heriot-Watt University)

  • Thomas Wiemann

    (University of Chicago)

  • Achim Ahrens

    (ETH Zürich)

Abstract

We introduce the Stata package ddml, which implements double/debiased machine learning (DDML) for causal inference aided by supervised machine learning. Five different models are supported, allowing for multiple treatment variables in the presence of high-dimensional controls and instrumental variables. ddml is compatible with many existing supervised machine learning programs in Stata.

Suggested Citation

  • Christian B. Hansen & Mark E. Schaffer & Thomas Wiemann & Achim Ahrens, 2022. "ddml: Double/debiased machine learning in Stata," Swiss Stata Conference 2022 02, Stata Users Group.
    • Handle: RePEc:boc:csug22:02
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    File URL: http://repec.org/csug2022/Ahrens-Bern2022-ddml.pdf
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    Cited by:

    1. Ahrens, Achim & Hansen, Christian B. & Schaffer, Mark E & Wiemann, Thomas, 2024. "Model Averaging and Double Machine Learning," IZA Discussion Papers 16714, Institute of Labor Economics (IZA).

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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