doubleml.double_ml_score_mixins.LinearScoreMixin

class doubleml.double_ml_score_mixins.LinearScoreMixin

Mixin class implementing DML estimation for score functions being linear in the target parameter

Notes

The score functions of many DML models (PLR, PLIV, IRM, IIVM) are linear in the parameter \(\theta\), i.e.,

\[\psi(W; \theta, \eta) = \theta \psi_a(W; \eta) + \psi_b(W; \eta).\]

The mixin class LinearScoreMixin implements the empirical analog of the moment condition \(\mathbb{E}(\psi(W; \theta, \eta)) = 0\), the estimation of \(\theta\) by solving the moment condition and the estimation of the corresponding asymptotic variance. For details, see the chapters on score functions and on variance estimation in the DoubleML user guide.

Methods