Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287641 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Digital Finance [ISSN:] 2524-6186 [Volume:] 3 [Issue:] 2 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2021 [Pages:] 99-148
Publisher: 
Springer International Publishing, Cham
Abstract: 
For treatment effects—one of the core issues in modern econometric analysis—prediction and estimation are two sides of the same coin. As it turns out, machine learning methods are the tool for generalized prediction models. Combined with econometric theory, they allow us to estimate not only the average but a personalized treatment effect—the conditional average treatment effect (CATE). In this tutorial, we give an overview of novel methods, explain them in detail, and apply them via Quantlets in real data applications. We study the effect that microcredit availability has on the amount of money borrowed and if 401(k) pension plan eligibility has an impact on net financial assets, as two empirical examples. The presented toolbox of methods contains meta-learners, like the doubly-robust, R-, T- and X-learner, and methods that are specially designed to estimate the CATE like the causal BART and the generalized random forest. In both, the microcredit and 401(k) example, we find a positive treatment effect for all observations but conflicting evidence of treatment effect heterogeneity. An additional simulation study, where the true treatment effect is known, allows us to compare the different methods and to observe patterns and similarities.
Subjects: 
Causal inference
CATE
Machine learning
Tutorial
JEL: 
C15
C21
D14
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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