EconML is a Python package for estimating heterogeneous treatment effects from observational data via machine learning. This package was designed and built as part of the ALICE project at Microsoft Research with the goal to combine state-of-the-art machine learning techniques with econometrics to bring automation to complex causal inference problems. The promise of EconML:
- Implement recent techniques in the literature at the intersection of econometrics and machine learning
- Maintain flexibility in modeling the effect heterogeneity (via techniques such as random forests, boosting, lasso and neural nets), while preserving the causal interpretation of the learned model and often offering valid confidence intervals
- Use a unified API
- Build on standard Python packages for Machine Learning and Data Analysis
One of the biggest promises of machine learning is to automate decision making in a multitude of domains. At the core of many data-driven personalized decision scenarios is the estimation of heterogeneous treatment effects: what is the causal effect of an intervention on an outcome of interest for a sample with a particular set of features? In a nutshell, this toolkit is designed to measure the causal effect of some treatment variable(s) T on an outcome
variable Y, controlling for a set of features X, W and how does that effect vary as a function of X. The methods implemented are applicable even with observational (non-experimental or historical) datasets. For the estimation results to have a causal interpretation, some methods assume no unobserved confounders (i.e. there is no unobserved variable not included in X, W that simultaneously has an effect on both T and Y), while others assume access to an instrument Z (i.e. an observed variable Z that has an effect on the treatment T but no direct effect on the outcome Y). Most methods provide confidence intervals and inference results.
For detailed information about the package, consult the documentation at https://econml.azurewebsites.net/.
For information on use cases and background material on causal inference and heterogeneous treatment effects see our webpage at https://www.microsoft.com/en-us/research/project/econml/
<details> <summary><strong><em>Table of Contents</em></strong></summary>- News
- Getting Started
- For Developers
- Blogs and Publications
- Citation
- Contributing and Feedback
- Community
- References
News
If you'd like to contribute to this project, see the Help Wanted section below.
July 3, 2024: Release v0.15.1, see release notes here
<details><summary>Previous releases</summary>February 12, 2024: Release v0.15.0, see release notes here
November 11, 2023: Release v0.15.0b1, see release notes here
May 19, 2023: Release v0.14.1, see release notes here
November 16, 2022: Release v0.14.0, see release notes here
June 17, 2022: Release v0.13.1, see release notes here
January 31, 2022: Release v0.13.0, see release notes here
August 13, 2021: Release v0.12.0, see release notes here
August 5, 2021: Release v0.12.0b6, see release notes here
August 3, 2021: Release v0.12.0b5, see release notes here
July 9, 2021: Release v0.12.0b4, see release notes here
June 25, 2021: Release v0.12.0b3, see release notes here
June 18, 2021: Release v0.12.0b2, see release notes here
June 7, 2021: Release v0.12.0b1, see release notes here
May 18, 2021: Release v0.11.1, see release notes here
May 8, 2021: Release v0.11.0, see release notes here
March 22, 2021: Release v0.10.0, see release notes here
March 11, 2021: Release v0.9.2, see release notes here
March 3, 2021: Release v0.9.1, see release notes here
February 20, 2021: Release v0.9.0, see release notes here
January 20, 2021: Release v0.9.0b1, see release notes here
November 20, 2020: Release v0.8.1, see release notes here
November 18, 2020: Release v0.8.0, see release notes here
September 4, 2020: Release v0.8.0b1, see release notes here
March 6, 2020: Release v0.7.0, see release notes here
February 18, 2020: Release v0.7.0b1, see release notes here
January 10, 2020: Release v0.6.1, see release notes here
December 6, 2019: Release v0.6, see release notes here
November 21, 2019: Release v0.5, see release notes here.
June 3, 2019: Release v0.4, see release notes here.
May 3, 2019: Release v0.3, see release notes here.
April 10, 2019: Release v0.2, see release notes here.
March 6, 2019: Release v0.1, welcome to have a try and provide feedback.
</details>Getting Started
Installation
Install the latest release from PyPI:
pip install econml
To install from source, see For Developers section below.
Usage Examples
Estimation Methods
<details> <summary>Double Machine Learning (aka RLearner) (click to expand)</summary>- Linear final stage
from econml.dml import LinearDML from sklearn.linear_model import LassoCV from econml.inference import BootstrapInference est = LinearDML(model_y=LassoCV(), model_t=LassoCV()) ### Estimate with OLS confidence intervals est.fit(Y, T, X=X, W=W) # W -> high-dimensional confounders, X -> features treatment_effects = est.effect(X_test) lb, ub = est.effect_interval(X_test, alpha=0.05) # OLS confidence intervals ### Estimate with bootstrap confidence intervals est.fit(Y, T, X=X, W=W, inference='bootstrap') # with default bootstrap parameters est.fit(Y, T, X=X, W=W, inference=BootstrapInference(n_bootstrap_samples=100)) # or customized lb, ub = est.effect_interval(X_test, alpha=0.05) # Bootstrap confidence intervals
- Sparse linear final stage
from econml.dml import SparseLinearDML from sklearn.linear_model import LassoCV est = SparseLinearDML(model_y=LassoCV(), model_t=LassoCV()) est.fit(Y, T, X=X, W=W) # X -> high dimensional features treatment_effects = est.effect(X_test) lb, ub = est.effect_interval(X_test, alpha=0.05) # Confidence intervals via debiased lasso
- Generic Machine Learning last stage
</details> <details> <summary>Dynamic Double Machine Learning (click to expand)</summary>from econml.dml import NonParamDML from sklearn.ensemble import RandomForestRegressor, RandomForestClassifier est = NonParamDML(model_y=RandomForestRegressor(), model_t=RandomForestClassifier(), model_final=RandomForestRegressor(), discrete_treatment=True) est.fit(Y, T, X=X, W=W) treatment_effects = est.effect(X_test)
</details> <details> <summary>Causal Forests (click to expand)</summary>from econml.panel.dml import DynamicDML # Use defaults est = DynamicDML() # Or specify hyperparameters est = DynamicDML(model_y=LassoCV(cv=3), model_t=LassoCV(cv=3), cv=3) est.fit(Y, T, X=X, W=None, groups=groups, inference="auto") # Effects treatment_effects = est.effect(X_test) # Confidence intervals lb, ub = est.effect_interval(X_test, alpha=0.05)
</details> <details> <summary>Orthogonal Random Forests (click to expand)</summary>from econml.dml import CausalForestDML from sklearn.linear_model import LassoCV # Use defaults est = CausalForestDML() # Or specify hyperparameters est = CausalForestDML(criterion='het', n_estimators=500, min_samples_leaf=10, max_depth=10, max_samples=0.5, discrete_treatment=False, model_t=LassoCV(), model_y=LassoCV()) est.fit(Y, T, X=X, W=W) treatment_effects = est.effect(X_test) # Confidence intervals via Bootstrap-of-Little-Bags for forests lb, ub = est.effect_interval(X_test, alpha=0.05)
</details> <details> <summary>Meta-Learners (click to expand)</summary>from econml.orf import DMLOrthoForest, DROrthoForest from econml.sklearn_extensions.linear_model import WeightedLasso, WeightedLassoCV # Use defaults est = DMLOrthoForest() est = DROrthoForest() # Or specify hyperparameters est = DMLOrthoForest(n_trees=500, min_leaf_size=10, max_depth=10, subsample_ratio=0.7, lambda_reg=0.01, discrete_treatment=False, model_T=WeightedLasso(alpha=0.01), model_Y=WeightedLasso(alpha=0.01), model_T_final=WeightedLassoCV(cv=3), model_Y_final=WeightedLassoCV(cv=3)) est.fit(Y, T, X=X, W=W) treatment_effects = est.effect(X_test) # Confidence intervals via Bootstrap-of-Little-Bags for forests lb, ub = est.effect_interval(X_test, alpha=0.05)
- XLearner
from econml.metalearners import XLearner from sklearn.ensemble import GradientBoostingClassifier, GradientBoostingRegressor est = XLearner(models=GradientBoostingRegressor(), propensity_model=GradientBoostingClassifier(), cate_models=GradientBoostingRegressor()) est.fit(Y, T, X=np.hstack([X, W])) treatment_effects = est.effect(np.hstack([X_test, W_test])) # Fit with bootstrap confidence interval construction enabled est.fit(Y, T, X=np.hstack([X, W]), inference='bootstrap') treatment_effects = est.effect(np.hstack([X_test, W_test])) lb, ub = est.effect_interval(np.hstack([X_test, W_test]), alpha=0.05) # Bootstrap CIs
- SLearner
from econml.metalearners import SLearner from sklearn.ensemble import GradientBoostingRegressor est = SLearner(overall_model=GradientBoostingRegressor()) est.fit(Y, T, X=np.hstack([X, W])) treatment_effects = est.effect(np.hstack([X_test, W_test]))
- TLearner
</details> <details> <summary>Doubly Robust Learners (click to expand) </summary>from econml.metalearners import TLearner from sklearn.ensemble import GradientBoostingRegressor est = TLearner(models=GradientBoostingRegressor()) est.fit(Y, T, X=np.hstack([X, W])) treatment_effects = est.effect(np.hstack([X_test, W_test]))
- Linear final stage
from econml.dr import LinearDRLearner from sklearn.ensemble import GradientBoostingRegressor, GradientBoostingClassifier est = LinearDRLearner(model_propensity=GradientBoostingClassifier(), model_regression=GradientBoostingRegressor()) est.fit(Y, T, X=X, W=W) treatment_effects = est.effect(X_test) lb, ub = est.effect_interval(X_test, alpha=0.05)
- Sparse linear final stage
from econml.dr import SparseLinearDRLearner from sklearn.ensemble import GradientBoostingRegressor, GradientBoostingClassifier est = SparseLinearDRLearner(model_propensity=GradientBoostingClassifier(), model_regression=GradientBoostingRegressor()) est.fit(Y, T, X=X, W=W) treatment_effects = est.effect(X_test) lb, ub = est.effect_interval(X_test, alpha=0.05)
- Nonparametric final stage
from econml.dr import ForestDRLearner from sklearn.ensemble import
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