This package implements the Double Machine Learning approach from (Chernozhukov et al., 2018), which constructs estimates for low-dimensional target parameters in the presence of high-dimensional nuisance parameters. The methods and calculations are detailed in this file.
devtools::install_github("yixinsun1216/crossfit")
V. Chernozhukov, D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, W. Newey, and J. Robins. Double/debiased machine learning for treatment and structural parameters.The Econometrics Journal, 21(1):C1–C68, 2018a.