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arXiv · 2108.11294

Double Machine Learning and Automated Confounder Selection -- A Cautionary Tale

Paul Hünermund·Beyers Louw·Itamar Caspi
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Abstract

Double machine learning (DML) has become an increasingly popular tool for automated variable selection in high-dimensional settings. Even though the ability to deal with a large number of potential covariates can render selection-on-observables assumptions more plausible, there is at the same time a growing risk that endogenous variables are included, which would lead to the violation of conditional independence. This paper demonstrates that DML is very sensitive to the inclusion of only a few "bad controls" in the covariate space. The resulting bias varies with the nature of the theoretical causal model, which raises concerns about the feasibility of selecting control variables in a data-driven way.

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Paul Hünermund, Beyers Louw, Itamar Caspi. 2021-08-25. Double Machine Learning and Automated Confounder Selection -- A Cautionary Tale. https://doi.org/10.1515/jci-2022-0078

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