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Standard errors #81

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federiconuta opened this issue Jul 1, 2019 · 5 comments
Closed

Standard errors #81

federiconuta opened this issue Jul 1, 2019 · 5 comments

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@federiconuta
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Dear all,

sorry for rising another issue.
I cannot see any documentation for computing the standard errors. Is there a way to do it?

I would like to obtain the significance level of the following:

est.const_marginal_effect(X_test_first_atc1.T)

Thank you all!

@kbattocchi
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kbattocchi commented Jul 10, 2019

@federiconuta Sorry, I somehow missed this issue until now.

One possibility with the current release is to use the bootstrap estimator to produce a confidence interval by calling const_marginal_effect_interval. However, we're actively working on adding additional ways of doing this and providing a simpler interface, so that in the near future you'll be able to provide an extra inference argument to an estimator's fit method that will enable inference.

@federiconuta
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federiconuta commented Jul 10, 2019 via email

@kbattocchi
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kbattocchi commented Jul 10, 2019

Section 4.4 of our Double ML notebook includes an example of how to use the bootstrap estimator which should hopefully make the usage clear, but please let me know if you still have any other questions.

@federiconuta
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federiconuta commented Jul 10, 2019 via email

@vasilismsr
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Created #95 in response to this issue.

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