tests/testthat/test-double_ml_plr_nonorth.R

In DoubleML: Double Machine Learning in R

context("Unit tests for PLR")

library("mlr3learners")

lgr::get_logger("mlr3")$set_threshold("warn")

non_orth_score_w_g = function(y, d, l_hat, m_hat, g_hat, smpls) {
  u_hat = y - g_hat
  psi_a = -1 * d * d
  psi_b = d * u_hat
  psis = list(psi_a = psi_a, psi_b = psi_b)
  return(psis)
}

non_orth_score_w_l = function(y, d, l_hat, m_hat, g_hat, smpls) {

  p_a = -(d - m_hat) * (d - m_hat)
  p_b = (d - m_hat) * (y - l_hat)
  theta_initial = -mean(p_b, na.rm = TRUE) / mean(p_a, na.rm = TRUE)
  g_hat = l_hat - theta_initial * m_hat

  u_hat = y - g_hat
  psi_a = -1 * d * d
  psi_b = d * u_hat
  psis = list(psi_a = psi_a, psi_b = psi_b)
  return(psis)
}

on_cran = !identical(Sys.getenv("NOT_CRAN"), "true")
if (on_cran) {
  test_cases = expand.grid(
    learner = "regr.lm",
    dml_procedure = "dml1",
    which_score = c("non_orth_score_w_g"),
    n_folds = c(3),
    n_rep = c(2),
    stringsAsFactors = FALSE)
} else {
  test_cases = expand.grid(
    learner = c("regr.lm", "regr.cv_glmnet"),
    dml_procedure = c("dml1", "dml2"),
    which_score = c(
      "non_orth_score_w_g",
      "non_orth_score_w_l"),
    n_folds = c(2, 3),
    n_rep = c(1, 2),
    stringsAsFactors = FALSE)
}
test_cases[".test_name"] = apply(test_cases, 1, paste, collapse = "_")

patrick::with_parameters_test_that("Unit tests for PLR:",
  .cases = test_cases, {
    learner_pars = get_default_mlmethod_plr(learner)

    if (which_score == "non_orth_score_w_g") {
      score = non_orth_score_w_g
      ml_g = learner_pars$ml_g$clone()
    } else if (which_score == "non_orth_score_w_l") {
      score = non_orth_score_w_l
      ml_g = NULL
    }

    n_rep_boot = 498
    set.seed(3141)
    double_mlplr_obj = DoubleMLPLR$new(
      data = data_plr$dml_data,
      ml_l = learner_pars$ml_l$clone(),
      ml_m = learner_pars$ml_m$clone(),
      ml_g = ml_g,
      dml_procedure = dml_procedure,
      n_folds = n_folds,
      score = score)

    double_mlplr_obj$fit()
    theta_obj = double_mlplr_obj$coef
    se_obj = double_mlplr_obj$se
    t_obj = double_mlplr_obj$t_stat
    pval_obj = double_mlplr_obj$pval
    ci_obj = double_mlplr_obj$confint(level = 0.95, joint = FALSE)


    expect_is(theta_obj, "numeric")
    expect_is(se_obj, "numeric")
    expect_is(t_obj, "numeric")
    expect_is(pval_obj, "numeric")
    expect_is(ci_obj, "matrix")


    if (n_folds == 2 & n_rep == 1) {
      double_mlplr_nocf = DoubleMLPLR$new(
        data = data_plr$dml_data,
        ml_l = learner_pars$ml_l$clone(),
        ml_m = learner_pars$ml_m$clone(),
        ml_g = ml_g,
        dml_procedure = dml_procedure,
        n_folds = n_folds,
        score = score,
        apply_cross_fitting = FALSE)

      double_mlplr_nocf$fit()
      theta_nocf = double_mlplr_nocf$coef
      se_nocf = double_mlplr_nocf$se
      t_nocf = double_mlplr_nocf$t_stat
      pval_nocf = double_mlplr_nocf$pval
      ci_nocf = double_mlplr_nocf$confint(level = 0.95, joint = FALSE)

      expect_is(theta_nocf, "numeric")
      expect_is(se_nocf, "numeric")
      expect_is(t_nocf, "numeric")
      expect_is(pval_nocf, "numeric")
      expect_is(ci_nocf, "matrix")

    }

    # expect_equal(as.vector(plr_hat$boot_theta), as.vector(boot_theta_obj), tolerance = 1e-8)
  }
)