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DML Hyperparameter Tuning Replication Files: Motivation Example

This directory contains the replication code for the motivating example Figures 1 (Section), based on the data BCH generating process (Belloni et al., 2013).

The directory is organized as follows

  • code - contains the source code for the simulation study, including the data generating process
  • simulation_run - contains the scripts to run the simulation study, organized in the following subdirectories
    • sim_lassomanual.py - Code to run the simulation study in various setting; the setting considered in the motivation example corresponds to the parameters this_design = "1a", rho = 0.6 and R2 = 0.6
    • results - results as .csv files
  • An evaluation and replication of the surface plots in the paper is available here. TODO: Add link to notebook.

References

Alexandre Belloni, Victor Chernozhukov, and Christian Hansen. Inference on Treatment Effects after Selection among High-Dimensional Controls. The Review of Economic Studies, 81(2):608–650, 11 2013. ISSN 0034-6527. doi: 10.1093/restud/rdt044. URL https://doi.org/10.1093/restud/rdt044.