Standard errors

[federiconuta]

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]

@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]

No problems at all and also many thanks for what you are doing! So basically I need to create an object "bootstrap estimator" and input the model estimates? Il Mer 10 Lug 2019, 15:54 Keith Battocchi <notifications@github.com> ha scritto:

…

@federiconuta <https://github.com/federiconuta> Sorry, I somehow missed this issue until now. One possibility with the current release is to use the bootstrap estimator <https://econml.azurewebsites.net/_autosummary/econml.bootstrap.html#econml.bootstrap.BootstrapEstimator>. 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. — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#81>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AMJWORWP4VTQM2VCEWXS2G3P6XS3DANCNFSM4H4T4Y3A> .

[kbattocchi]

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]

Perfect. Thank you again! Il Mer 10 Lug 2019, 16:22 Keith Battocchi <notifications@github.com> ha scritto:

…

Section 4.4 of our Double ML notebook <https://github.com/microsoft/EconML/blob/master/notebooks/Double%20Machine%20Learning%20Examples.ipynb> includes an example of how to us the bootstrap estimator which should hopefully make the usage clear, but please let me know if you still have any other questions. — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#81>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AMJWORR2XMPLPXHLBR56IQTP6XWCZANCNFSM4H4T4Y3A> .

[vasilismsr]

Created #95 in response to this issue.