Model Averaging and Double Machine Learning

B-Tier
Journal: Journal of Applied Econometrics
Year: 2025
Volume: 40
Issue: 3
Pages: 249-269

Authors (4)

Achim Ahrens (ETH Zurich, Departement Geiste...) Christian B. Hansen (not in RePEc) Mark E. Schaffer (Heriot-Watt University) Thomas Wiemann (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper discusses pairing double/debiased machine learning (DDML) with stacking, a model averaging method for combining multiple candidate learners, to estimate structural parameters. In addition to conventional stacking, we consider two stacking variants available for DDML: Short‐stacking exploits the cross‐fitting step of DDML to substantially reduce the computational burden, and pooled stacking enforces common stacking weights over cross‐fitting folds. Using calibrated simulation studies and two applications estimating gender gaps in citations and wages, we show that DDML with stacking is more robust to partially unknown functional forms than common alternative approaches based on single pre‐selected learners. We provide Stata and R software implementing our proposals.

Technical Details

RePEc Handle
repec:wly:japmet:v:40:y:2025:i:3:p:249-269
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-24