CATEs

Coverage

The simulations are based on the the make_heterogeneous_data-DGP with \(2000\) observations. The groups are defined based on the first covariate, analogously to the CATE PLR Example, but rely on LightGBM to estimate nuisance elements (due to time constraints).

The non-uniform results (coverage, ci length and bias) refer to averaged values over all groups (point-wise confidende intervals).

DoubleML Version                            0.11.5.dev55
Script                         PLRCATECoverageSimulation
Date                                    2026-08-10 13:33
Total Runtime (minutes)                       180.630384
Python Version                                    3.12.3
Config File              scripts/plm/plr_cate_config.yml

Partialling out

ⓘLearner l Learner m Bias CI Length Coverage Uniform CI Length Uniform Coverage
LGBM Regr. LGBM Regr. 0.159 0.544 0.824 0.768 0.726
LGBM Regr. LassoCV 0.179 0.770 0.909 1.087 0.860
LassoCV LGBM Regr. 0.528 0.670 0.166 0.947 0.008
LassoCV LassoCV 0.094 0.451 0.943 0.639 0.939
LassoCV RF Regr. 0.142 0.516 0.849 0.731 0.754
RF Regr. LassoCV 0.118 0.530 0.921 0.749 0.895
RF Regr. RF Regr. 0.100 0.458 0.931 0.648 0.907
Coverage for 95%-Confidence Interval over 1000 Repetitions
ⓘLearner l Learner m Bias CI Length Coverage Uniform CI Length Uniform Coverage
LGBM Regr. LGBM Regr. 0.159 0.456 0.735 0.768 0.727
LGBM Regr. LassoCV 0.179 0.646 0.845 1.086 0.858
LassoCV LGBM Regr. 0.528 0.562 0.110 0.947 0.008
LassoCV LassoCV 0.094 0.379 0.889 0.640 0.941
LassoCV RF Regr. 0.142 0.433 0.766 0.731 0.761
RF Regr. LassoCV 0.118 0.445 0.861 0.749 0.893
RF Regr. RF Regr. 0.100 0.384 0.872 0.647 0.907
Coverage for 90%-Confidence Interval over 1000 Repetitions

IV-type

ⓘLearner l Learner m Bias CI Length Coverage Uniform CI Length Uniform Coverage
LGBM Regr. LGBM Regr. 0.103 0.416 0.888 0.588 0.763
LGBM Regr. LassoCV 0.093 0.437 0.933 0.618 0.911
LassoCV LGBM Regr. 0.115 0.427 0.860 0.607 0.735
LassoCV LassoCV 0.088 0.433 0.949 0.614 0.937
LassoCV RF Regr. 0.088 0.430 0.947 0.610 0.933
RF Regr. LassoCV 0.088 0.416 0.936 0.588 0.910
RF Regr. RF Regr. 0.088 0.411 0.937 0.581 0.909
Coverage for 95%-Confidence Interval over 1000 Repetitions
ⓘLearner l Learner m Bias CI Length Coverage Uniform CI Length Uniform Coverage
LGBM Regr. LGBM Regr. 0.103 0.349 0.820 0.588 0.765
LGBM Regr. LassoCV 0.093 0.367 0.880 0.617 0.907
LassoCV LGBM Regr. 0.115 0.358 0.777 0.607 0.736
LassoCV LassoCV 0.088 0.363 0.897 0.614 0.940
LassoCV RF Regr. 0.088 0.361 0.896 0.610 0.933
RF Regr. LassoCV 0.088 0.349 0.882 0.588 0.909
RF Regr. RF Regr. 0.088 0.345 0.883 0.581 0.911
Coverage for 90%-Confidence Interval over 1000 Repetitions