Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272590 
Year of Publication: 
2023
Series/Report no.: 
IZA Discussion Papers No. 15963
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
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.
Subjects: 
st0001
causal inference
machine learning
doubly-robust estimation
JEL: 
C14
C21
C87
Document Type: 
Working Paper

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