Causal Forests and more
In this short section, we’ll provide a brief overview of the idea behind Causal Forests. We’ll introduce one of the EconML classes implementing the method. An in-depth discussion on Causal Forests and their extensions is beyond the scope of this book, but we’ll point to resources where you can learn more about forest-based causal estimators.
Causal Forest is a tree-based model that stems from the works of Susan Athey, Julie Tibshirani, and Stefan Wager (Wager & Athey, 2018; Athey et al., 2019). The core difference between regular random forest and Causal Forest is that Causal Forest uses so-called causal trees. Otherwise, the methods are similar and both use resampling, predictor subsetting, and averaging over a number of trees.
Causal trees
What makes causal trees different from regular trees is the split criterion. Causal trees use a criterion based on the estimated treatment effects, using so-called honest splitting, where...