Sequential Validation of Treatment Heterogeneity

Abstract

We use the martingale construction of Luedtke and van der Laan (2016) to develop tests for the presence of treatment heterogeneity. The resulting sequential validation approach can be instantiated using various validation metrics, such as BLPs, GATES, QINI curves, etc., and provides an alternative to cross-validation-like cross-fold application of these metrics.

arXiv commentThis note was prepared as a comment on the Fisher-Schultz paper by Chernozhukov, Demirer, Duflo and Fernandez-Val, forthcoming in Econometrica