DMLReg: Simple Double-ML implementation with cross-fitting

In apoorvalal/LalRUtils: Lal's utility scripts for personal use

Simple Double-ML implementation with cross-fitting

Description

Simple Double-ML implementation with cross-fitting

Usage

DMLReg(x, d, y, dreg, yreg, nfold = 5)

Arguments

x	Matrix of covariates
d	treatment variable
y	The dependent variable
dreg	function that wraps learner - e.g. glmnet - for pscore
yreg	function that wraps learner - e.g. glmnet - for outcome regression
D	vector of factor variables to be partialed out
nfolds	number of folds for cross fitting

Examples

## Not run: 
dreg = \(x, d) cv.glmnet(x, d, alpha = 1)
yreg = \(x, y) cv.glmnet(x, y, alpha = 1)
res = DMLReg(x = x, d = d, y = y, dreg = dreg, yreg = yreg, nfold = 5)

## End(Not run)

apoorvalal/LalRUtils documentation built on Sept. 22, 2023, 5:53 p.m.