Add details on choosing first stage models #372
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vsyrgkanis
approved these changes
Jan 15, 2021
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| "plt.plot(X_test, test_effect, \"--\", label=\"Truth\")\n", |
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Weird that the final approach that does a CV among both lasso and forest is worse than just lasso. Doesn't seem right.
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| "An alternative to passing in CV models to EconML is to perform model selection outside of the EconML estimators and then pass in the pre-selected models to EconML.\n", | ||
| "\n", | ||
| "**Advantages:** Faster runtimes of the EconML estimators and more flexible selection of first stage models.\n", |
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Add here also that as long as log(number of hyper-parameters) is much smaller than the number of samples, this approach maintains statisical validity of the resulting inference results.
added 2 commits
January 15, 2021 12:16
* Modified docs, README and added a new notebook
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Modified docs, README and added a new notebook