Merge pull request #130 from DoubleML/dev

Update main after new release

Author: SvenKlaassen

.github/workflows/deploy_docu_dev.yml

@@ -3,9 +3,6 @@
 name: Deploy Docu (dev)
 
 on:
-  push:
-    branches:
-      - dev
   workflow_dispatch:
 
 

.gitignore

@@ -1,2 +1 @@
-*.idea
-
+*.idea

LICENSE

@@ -1,19 +1,29 @@
-Copyright (c) 2019-2021 Philipp Bach, Victor Chernozhukov, Malte S. Kurz, Martin Spindler
+BSD 3-Clause License
 
-Permission is hereby granted, free of charge, to any person obtaining a copy
-of this software and associated documentation files (the "Software"), to deal
-in the Software without restriction, including without limitation the rights
-to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
-copies of the Software, and to permit persons to whom the Software is
-furnished to do so, subject to the following conditions:
+Copyright (c) 2019-2023 Philipp Bach, Victor Chernozhukov, Sven Klaassen, Malte S. Kurz, Martin Spindler
+All rights reserved.
 
-The above copyright notice and this permission notice shall be included in all
-copies or substantial portions of the Software.
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are met:
 
-THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
-IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
-FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
-AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
-LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
-OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
-SOFTWARE.
+* Redistributions of source code must retain the above copyright notice, this
+  list of conditions and the following disclaimer.
+
+* Redistributions in binary form must reproduce the above copyright notice,
+  this list of conditions and the following disclaimer in the documentation
+  and/or other materials provided with the distribution.
+
+* Neither the name of the copyright holder nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

doc/api/api.rst

@@ -26,7 +26,11 @@ Double machine learning models
     DoubleMLPLIV
     DoubleMLIRM
     DoubleMLIIVM
-
+    DoubleMLPQ
+    DoubleMLLPQ
+    DoubleMLCVAR
+    DoubleMLQTE
+    DoubleMLBLP
 
 Datasets module
 ---------------

doc/conf.py

@@ -18,8 +18,8 @@
 # -- Project information -----------------------------------------------------
 
 project = 'DoubleML'
-copyright = '2021, Bach, P., Chernozhukov, V., Kurz, M. S., and Spindler, M.'
-author = 'Bach, P., Chernozhukov, V., Kurz, M. S., and Spindler, M.'
+copyright = '2023, Bach, P., Chernozhukov, V., Klaassen, S., Kurz, M. S., and Spindler, M.'
+author = 'Bach, P., Chernozhukov, V., Klaassen, S., Kurz, M. S., and Spindler, M.'
 
 
 # -- General configuration ---------------------------------------------------
@@ -130,6 +130,9 @@
     'https://doi.org/10.2307/2171802',  # Valid DOI; Causes 403 Client Error: Forbidden for url:...
     'https://doi.org/10.2307/1912705',  # Valid DOI; Causes 403 Client Error: Forbidden for url:...
     'https://doi.org/10.1093/ectj/utaa027', # Valid DOI; Causes 403 Client Error: Forbidden for url:...
+    'https://doi.org/10.1111/rssb.12026', # Valid DOI; Causes 403 Client Error: Forbidden for url:...
+    'https://doi.org/10.1111/rssa.12623', # Valid DOI; Causes 403 Client Error: Forbidden for url:...
+    'https://doi.org/10.1146/annurev-economics-012315-015826', # Valid DOI; Causes 403 Client Error: Forbidden for url:...
 ]
 
 # To execute R code via jupyter-execute one needs to install the R kernel for jupyter

doc/examples/index.rst

@@ -1,6 +1,8 @@
 
 :parenttoc: True
 
+.. _examplegallery:
+
 Examples
 ==========
 
@@ -27,6 +29,10 @@ These are case studies with the Python package :ref:`DoubleML <doubleml_package>
     py_double_ml_multiway_cluster.ipynb
     py_double_ml_gate.ipynb
     py_double_ml_cate.ipynb
+    py_double_ml_pension_qte.ipynb
+    py_double_ml_pq.ipynb
+    py_double_ml_cvar.ipynb
+    py_double_ml_learner.ipynb
 
 |start-h3| Sandbox |end-h3|
 

doc/examples/py_double_ml_cate.ipynb

@@ -12,14 +12,15 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {
     "collapsed": false
    },
    "source": [
     "## Data\n",
     "\n",
-    "We define a data generating process to create synthetic data to compare the estimates to the true effect. The data generating process is based on the Monte Carlo simulation from this [paper](https://arxiv.org/abs/1806.03467) and this implementation from [EconML](https://github.com/microsoft/EconML)."
+    "We define a data generating process to create synthetic data to compare the estimates to the true effect. The data generating process is based on the Monte Carlo simulation from [Oprescu et al. (2019)](http://proceedings.mlr.press/v97/oprescu19a.html) and this [notebook](https://github.com/py-why/EconML/blob/main/notebooks/Causal%20Forest%20and%20Orthogonal%20Random%20Forest%20Examples.ipynb) from [EconML](https://github.com/py-why/EconML)."
    ]
   },
   {
@@ -80,33 +81,6 @@
     "    return te\n",
     "\n",
     "def create_synthetic_data(n_samples=200, n_w=30, support_size=5, n_x=1):\n",
-    "    \"\"\"\n",
-    "    Creates a simple synthetic example for conditional treatment effects.\n",
-    "\n",
-    "    Parameters\n",
-    "    ----------\n",
-    "    n_samples : int\n",
-    "        Number of samples.\n",
-    "        Default is ``200``.\n",
-    "\n",
-    "    n_w : int\n",
-    "        Dimension of covariates.\n",
-    "        Default is ``30``.\n",
-    "\n",
-    "    support_size : int\n",
-    "        Number of relevant covariates.\n",
-    "        Default is ``5``.\n",
-    "\n",
-    "    n_x : int\n",
-    "        Dimension of treatment variable.\n",
-    "        Default is ``1``.\n",
-    "\n",
-    "    Returns\n",
-    "    -------\n",
-    "     data : pd.DataFrame\n",
-    "            A data frame.\n",
-    "\n",
-    "    \"\"\"\n",
     "    # Outcome support\n",
     "    # With the next two lines we are effectively choosing the matrix gamma in the example\n",
     "    support_y = np.random.choice(np.arange(n_w), size=support_size, replace=False)\n",
@@ -219,12 +193,13 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {
     "collapsed": false
    },
    "source": [
-    "To estimate the CATE, we rely on the best-linear-predictor of the linear score as in [Semenova et al.](https://doi.org/10.1093/ectj/utaa027) To approximate the target function $g(x)$ with a linear form, we have to define a data frame of basis functions. Here, we rely on [patsy](https://patsy.readthedocs.io/en/latest/) to construct a suitable basis of [B-splines](https://en.wikipedia.org/wiki/B-spline)."
+    "To estimate the CATE, we rely on the best-linear-predictor of the linear score as in [Semenova et al. (2021)](https://doi.org/10.1093/ectj/utaa027) To approximate the target function $g(x)$ with a linear form, we have to define a data frame of basis functions. Here, we rely on [patsy](https://patsy.readthedocs.io/en/latest/) to construct a suitable basis of [B-splines](https://en.wikipedia.org/wiki/B-spline)."
    ]
   },
   {
@@ -241,6 +216,7 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {
     "collapsed": false
@@ -262,6 +238,7 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {
     "collapsed": false