*! version 27july2023

Installation

To verify that ddml and qddml are correctly installed,
click on or type whichpkg ddml
(which requires whichpkg
to be installed; ssc install whichpkg).

To get the latest stable versions of ddml and qddml from our website,
check the installation instructions at https://statalasso.github.io/docs/ddml/installation/.
We update the stable website version more frequently than the SSC version.

References

Ahrens, A., Hansen, C. B., & Schaffer, M. E. (2023).
pystacked: Stacking generalization and machine learning in Stata.
The Stata Journal, 23(4), 909-931.
https://doi.org/10.1177/1536867X231212426

Ahrens, A., Hansen, C. B., Schaffer, M. E., & Wiemann, T. (2024a).
Model averaging and double machine learning.
arXiv:2401.01645.
https://arxiv.org/abs/2401.01645

Ahrens, A., Hansen, C. B., Schaffer, M. E., & Wiemann, T. (2024b).
ddml: Double/debiased machine learning in Stata.
The Stata Journal, 24(1), 3-45.
https://doi.org/10.1177/1536867X241233641

Chernozhukov, V., Chetverikov, D., Demirer, M.,
Duflo, E., Hansen, C., Newey, W. and Robins, J. (2018),
Double/debiased machine learning for
treatment and structural parameters.
The Econometrics Journal, 21: C1-C68.
https://doi.org/10.1111/ectj.12097

Hastie, T., Tibshirani, R., & Friedman, J. (2009).
The elements of statistical learning: data mining, inference,
and prediction. Springer Science & Business Media.

Wolpert, David H. Stacked generalization.
Neural networks 5.2 (1992): 241-259.
https://doi.org/10.1016/S0893-6080(05)80023-1

Authors

Achim Ahrens, Public Policy Group, ETH Zurich, Switzerland

achim.ahrens@gess.ethz.ch

Christian B. Hansen, University of Chicago, USA

Christian.Hansen@chicagobooth.edu

Mark E Schaffer, Heriot-Watt University, UK

m.e.schaffer@hw.ac.uk

Thomas Wiemann, University of Chicago, USA

wiemann@uchicago.edu

Also see (if installed)

Help:
pystacked,
lasso2,
cvlasso,
rlasso,
ivlasso,
pdslasso.