In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...

We propose strategies to estimate and make inference on key features of heterogeneous effects in randomized experiments. These key features include best linear predictors of the effects using machine learning proxies, average effects sorted by impact groups, and average characteristics of most...

Most modern supervised statistical/machine learning (ML) methods are explicitly designed to solve prediction problems very well. Achieving this goal does not imply that these methods automatically deliver good estimators of causal parameters. Examples of such parameters include individual...

We propose strategies to estimate and make inference on key features of heterogeneous effects in randomized experiments. These key features include best linear predictors of the effects using machine learning proxies, average effects sorted by impact groups, and average characteristics of most...

We provide adaptive inference methods for linear functionals of L1-regularized linear approximations to the conditional expectation function. Examples of such functionals include average derivatives, policy effects, average treatment effects, and many others. The construction relies on building...

We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact,...