Authors
Hugo Bodory, Martin Huber, Lukáš Lafférs
Publication date
2022/9
Journal
The Econometrics Journal
Volume
25
Issue
3
Pages
628-648
Publisher
Oxford University Press
Description
We consider evaluating the causal effects of dynamic treatments, i.e., of mul-tiple treatment sequences in various periods, based on double machine learning to control for observed, time-varying covariates in a data-driven way under a selection-on-observables assumption. To this end, we make use of so-called Neyman-orthogonal score functions, which imply the robustness of treatment effect estimation to moderate (local) misspecifications of the dynamic outcome and treatment models. This robustness property permits approximating outcome and treatment models by double machine learning even under high-dimensional covariates. In addition to effect estimation for the total population, we consider weighted estimation that permits assessing dynamic treatment effects in specific subgroups, e.g., among those treated in the first treatment period. We demonstrate that the estimators are asymptotically normal and …
Total citations
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