Neyman Meets Causal Machine Learning: Experimental Evaluation of Individualized Treatment Rules
arxiv(2024)
摘要
A century ago, Neyman showed how to evaluate the efficacy of treatment using
a randomized experiment under a minimal set of assumptions. This classical
repeated sampling framework serves as a basis of routine experimental analyses
conducted by today's scientists across disciplines. In this paper, we
demonstrate that Neyman's methodology can also be used to experimentally
evaluate the efficacy of individualized treatment rules (ITRs), which are
derived by modern causal machine learning algorithms. In particular, we show
how to account for additional uncertainty resulting from a training process
based on cross-fitting. The primary advantage of Neyman's approach is that it
can be applied to any ITR regardless of the properties of machine learning
algorithms that are used to derive the ITR. We also show, somewhat
surprisingly, that for certain metrics, it is more efficient to conduct this
ex-post experimental evaluation of an ITR than to conduct an ex-ante
experimental evaluation that randomly assigns some units to the ITR. Our
analysis demonstrates that Neyman's repeated sampling framework is as relevant
for causal inference today as it has been since its inception.
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