ddml: Double/Debiased Machine Learning in Stata

We introduce the package ddml for Double/Debiased Machine Learning (DDML) in Stata. Estimators of causal parameters for five different econometric models are supported, allowing for flexible estimation of causal effects of endogenous variables in settings with unknown functional forms and/or many exogenous variables. ddml is compatible with many existing supervised machine learning programs in Stata. We recommend using DDML in combination with stacking estimation which combines multiple machine learners into a final predictor. We provide Monte Carlo evidence to support our recommendation.

Keywords: st0001, causal inference, machine learning, doubly-robust estimation

JEL Classification: C14, C21, C87

Suggested Citation: Suggested Citation

Ahrens, Achim and Hansen, Christian and Schaffer, Mark and Wiemann, Thomas T., ddml: Double/Debiased Machine Learning in Stata. IZA Discussion Paper No. 15963, Available at SSRN: https://ssrn.com/abstract=4368837 or http://dx.doi.org/10.2139/ssrn.4368837