Sequential Validation of Treatment Heterogeneity

Published 9 May 2024 in econ.EM | (2405.05534v1)

Abstract: We use the martingale construction of Luedtke and van der Laan (2016) to develop tests for the presence of treatment heterogeneity. The resulting sequential validation approach can be instantiated using various validation metrics, such as BLPs, GATES, QINI curves, etc., and provides an alternative to cross-validation-like cross-fold application of these metrics.

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Stefan Wager

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