econml.iv.sieve.SieveTSLS

class econml.iv.sieve.SieveTSLS(*, t_featurizer, x_featurizer, z_featurizer, dt_featurizer)[source]

Bases: econml._cate_estimator.BaseCateEstimator

Non-parametric instrumental variables estimator.

Supports the use of arbitrary featurizers for the features, treatments, and instruments.

Parameters
  • t_featurizer (transformer) – Featurizer used to transform the treatments

  • x_featurizer (transformer) – Featurizer used to transform the raw features

  • z_featurizer (transformer) – Featurizer used to transform the instruments

  • dt_featurizer (transformer) – Featurizer used to transform the treatments for the computation of the marginal effect. This should produce a 3-dimensional array, containing the per-treatment derivative of each transformed treatment. That is, given a treatment array of shape(n, dₜ), the output should have shape(n, dₜ, fₜ), where fₜ is the number of columns produced by t_featurizer.

__init__(*, t_featurizer, x_featurizer, z_featurizer, dt_featurizer)[source]

Initialize self. See help(type(self)) for accurate signature.

Methods

__init__(*, t_featurizer, x_featurizer, …)

Initialize self.

ate([X])

Calculate the average treatment effect \(E_X[\tau(X, T0, T1)]\).

ate_inference([X])

Inference results for the quantity \(E_X[\tau(X, T0, T1)]\) produced by the model.

ate_interval([X, alpha])

Confidence intervals for the quantity \(E_X[\tau(X, T0, T1)]\) produced by the model.

cate_feature_names([feature_names])

Public interface for getting feature names.

cate_output_names([output_names])

Public interface for getting output names.

cate_treatment_names([treatment_names])

Public interface for getting treatment names.

effect([X, T0, T1])

Calculate the heterogeneous treatment effect τ(·,·,·).

effect_inference([X, T0, T1])

Inference results for the quantities \(\tau(X, T0, T1)\) produced by the model.

effect_interval([X, T0, T1, alpha])

Confidence intervals for the quantities \(\tau(X, T0, T1)\) produced by the model.

fit(Y, T, Z[, X, W, inference])

Estimate the counterfactual model from data, i.e.

marginal_ate(T[, X])

Calculate the average marginal effect \(E_{T, X}[\partial\tau(T, X)]\).

marginal_ate_inference(T[, X])

Inference results for the quantities \(E_{T,X}[\partial \tau(T, X)]\) produced by the model.

marginal_ate_interval(T[, X, alpha])

Confidence intervals for the quantities \(E_{T,X}[\partial \tau(T, X)]\) produced by the model.

marginal_effect(T[, X])

Calculate the heterogeneous marginal effect ∂τ(·, ·).

marginal_effect_inference(T[, X])

Inference results for the quantities \(\partial \tau(T, X)\) produced by the model.

marginal_effect_interval(T[, X, alpha])

Confidence intervals for the quantities \(\partial \tau(T, X)\) produced by the model.

Attributes

dowhy

Get an instance of DoWhyWrapper to allow other functionalities from dowhy package.

ate(X=None, *, T0, T1)

Calculate the average treatment effect \(E_X[\tau(X, T0, T1)]\).

The effect is calculated between the two treatment points and is averaged over the population of X variables.

Parameters
  • T0 ((m, d_t) matrix or vector of length m) – Base treatments for each sample

  • T1 ((m, d_t) matrix or vector of length m) – Target treatments for each sample

  • X (optional (m, d_x) matrix) – Features for each sample

Returns

τ – Average treatment effects on each outcome Note that when Y is a vector rather than a 2-dimensional array, the result will be a scalar

Return type

float or (d_y,) array

ate_inference(X=None, *, T0, T1)

Inference results for the quantity \(E_X[\tau(X, T0, T1)]\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • X (optional (m, d_x) matrix) – Features for each sample

  • T0 (optional (m, d_t) matrix or vector of length m (Default=0)) – Base treatments for each sample

  • T1 (optional (m, d_t) matrix or vector of length m (Default=1)) – Target treatments for each sample

Returns

PopulationSummaryResults – The inference results instance contains prediction and prediction standard error and can on demand calculate confidence interval, z statistic and p value. It can also output a dataframe summary of these inference results.

Return type

object

ate_interval(X=None, *, T0, T1, alpha=0.1)

Confidence intervals for the quantity \(E_X[\tau(X, T0, T1)]\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • X (optional (m, d_x) matrix) – Features for each sample

  • T0 (optional (m, d_t) matrix or vector of length m (Default=0)) – Base treatments for each sample

  • T1 (optional (m, d_t) matrix or vector of length m (Default=1)) – Target treatments for each sample

  • alpha (optional float in [0, 1] (Default=0.1)) – The overall level of confidence of the reported interval. The alpha/2, 1-alpha/2 confidence interval is reported.

Returns

lower, upper – The lower and the upper bounds of the confidence interval for each quantity.

Return type

tuple(type of ate(X, T0, T1), type of ate(X, T0, T1)) )

cate_feature_names(feature_names=None)

Public interface for getting feature names.

To be overriden by estimators that apply transformations the input features.

Parameters

feature_names (list of strings of length X.shape[1] or None) – The names of the input features. If None and X is a dataframe, it defaults to the column names from the dataframe.

Returns

out_feature_names – Returns feature names.

Return type

list of strings or None

cate_output_names(output_names=None)

Public interface for getting output names.

To be overriden by estimators that apply transformations the outputs.

Parameters

output_names (list of strings of length Y.shape[1] or None) – The names of the outcomes. If None and the Y passed to fit was a dataframe, it defaults to the column names from the dataframe.

Returns

output_names – Returns output names.

Return type

list of strings

cate_treatment_names(treatment_names=None)

Public interface for getting treatment names.

To be overriden by estimators that apply transformations the treatments.

Parameters

treatment_names (list of strings of length T.shape[1] or None) – The names of the treatments. If None and the T passed to fit was a dataframe, it defaults to the column names from the dataframe.

Returns

treatment_names – Returns treatment names.

Return type

list of strings

effect(X=None, T0=0, T1=1)[source]

Calculate the heterogeneous treatment effect τ(·,·,·).

The effect is calculated between the two treatment points conditional on a vector of features on a set of m test samples {T0ᵢ, T1ᵢ, Xᵢ}.

Parameters
  • T0 ((m × dₜ) matrix or vector of length m) – Base treatments for each sample

  • T1 ((m × dₜ) matrix or vector of length m) – Target treatments for each sample

  • X (optional (m × dₓ) matrix) – Features for each sample

Returns

τ – Heterogeneous treatment effects on each outcome for each sample Note that when Y is a vector rather than a 2-dimensional array, the corresponding singleton dimension will be collapsed (so this method will return a vector)

Return type

(m × d_y) matrix

effect_inference(X=None, *, T0=0, T1=1)

Inference results for the quantities \(\tau(X, T0, T1)\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • X (optional (m, d_x) matrix) – Features for each sample

  • T0 (optional (m, d_t) matrix or vector of length m (Default=0)) – Base treatments for each sample

  • T1 (optional (m, d_t) matrix or vector of length m (Default=1)) – Target treatments for each sample

Returns

InferenceResults – The inference results instance contains prediction and prediction standard error and can on demand calculate confidence interval, z statistic and p value. It can also output a dataframe summary of these inference results.

Return type

object

effect_interval(X=None, *, T0=0, T1=1, alpha=0.1)

Confidence intervals for the quantities \(\tau(X, T0, T1)\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • X (optional (m, d_x) matrix) – Features for each sample

  • T0 (optional (m, d_t) matrix or vector of length m (Default=0)) – Base treatments for each sample

  • T1 (optional (m, d_t) matrix or vector of length m (Default=1)) – Target treatments for each sample

  • alpha (optional float in [0, 1] (Default=0.1)) – The overall level of confidence of the reported interval. The alpha/2, 1-alpha/2 confidence interval is reported.

Returns

lower, upper – The lower and the upper bounds of the confidence interval for each quantity.

Return type

tuple(type of effect(X, T0, T1), type of effect(X, T0, T1)) )

fit(Y, T, Z, X=None, W=None, *, inference=None)[source]

Estimate the counterfactual model from data, i.e. estimates functions τ(·, ·, ·), ∂τ(·, ·).

Parameters
  • Y ((n × d_y) matrix) – Outcomes for each sample

  • T ((n × dₜ) matrix) – Treatments for each sample

  • X (optional(n × dₓ) matrix) – Features for each sample

  • W (optional(n × d_w) matrix) – Controls for each sample

  • Z (optional(n × d_z) matrix) – Instruments for each sample

  • inference (string, Inference instance, or None) – Method for performing inference. This estimator supports ‘bootstrap’ (or an instance of BootstrapInference)

Returns

Return type

self

marginal_ate(T, X=None)

Calculate the average marginal effect \(E_{T, X}[\partial\tau(T, X)]\).

The marginal effect is calculated around a base treatment point and averaged over the population of X.

Parameters
  • T ((m, d_t) matrix) – Base treatments for each sample

  • X (optional (m, d_x) matrix) – Features for each sample

Returns

grad_tau – Average marginal effects on each outcome Note that when Y or T is a vector rather than a 2-dimensional array, the corresponding singleton dimensions in the output will be collapsed (e.g. if both are vectors, then the output of this method will be a scalar)

Return type

(d_y, d_t) array

marginal_ate_inference(T, X=None)

Inference results for the quantities \(E_{T,X}[\partial \tau(T, X)]\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • T ((m, d_t) matrix) – Base treatments for each sample

  • X (optional (m, d_x) matrix or None (Default=None)) – Features for each sample

Returns

PopulationSummaryResults – The inference results instance contains prediction and prediction standard error and can on demand calculate confidence interval, z statistic and p value. It can also output a dataframe summary of these inference results.

Return type

object

marginal_ate_interval(T, X=None, *, alpha=0.1)

Confidence intervals for the quantities \(E_{T,X}[\partial \tau(T, X)]\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • T ((m, d_t) matrix) – Base treatments for each sample

  • X (optional (m, d_x) matrix or None (Default=None)) – Features for each sample

  • alpha (optional float in [0, 1] (Default=0.1)) – The overall level of confidence of the reported interval. The alpha/2, 1-alpha/2 confidence interval is reported.

Returns

lower, upper – The lower and the upper bounds of the confidence interval for each quantity.

Return type

tuple(type of marginal_ate(T, X), type of marginal_ate(T, X) )

marginal_effect(T, X=None)[source]

Calculate the heterogeneous marginal effect ∂τ(·, ·).

The marginal effect is calculated around a base treatment point conditional on a vector of features on a set of m test samples {Tᵢ, Xᵢ}.

Parameters
  • T ((m × dₜ) matrix) – Base treatments for each sample

  • X (optional(m × dₓ) matrix) – Features for each sample

Returns

grad_tau – Heterogeneous marginal effects on each outcome for each sample Note that when Y or T is a vector rather than a 2-dimensional array, the corresponding singleton dimensions in the output will be collapsed (e.g. if both are vectors, then the output of this method will also be a vector)

Return type

(m × d_y × dₜ) array

marginal_effect_inference(T, X=None)

Inference results for the quantities \(\partial \tau(T, X)\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • T ((m, d_t) matrix) – Base treatments for each sample

  • X (optional (m, d_x) matrix or None (Default=None)) – Features for each sample

Returns

InferenceResults – The inference results instance contains prediction and prediction standard error and can on demand calculate confidence interval, z statistic and p value. It can also output a dataframe summary of these inference results.

Return type

object

marginal_effect_interval(T, X=None, *, alpha=0.1)

Confidence intervals for the quantities \(\partial \tau(T, X)\) produced by the model. Available only when inference is not None, when calling the fit method.

Parameters
  • T ((m, d_t) matrix) – Base treatments for each sample

  • X (optional (m, d_x) matrix or None (Default=None)) – Features for each sample

  • alpha (optional float in [0, 1] (Default=0.1)) – The overall level of confidence of the reported interval. The alpha/2, 1-alpha/2 confidence interval is reported.

Returns

lower, upper – The lower and the upper bounds of the confidence interval for each quantity.

Return type

tuple(type of marginal_effect(T, X), type of marginal_effect(T, X) )

property dowhy

Get an instance of DoWhyWrapper to allow other functionalities from dowhy package. (e.g. causal graph, refutation test, etc.)

Returns

DoWhyWrapper – An instance of DoWhyWrapper

Return type

instance