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Disable opt_reweighted in LinearIntentToTreatDRIV #280

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vsyrgkanis opened this issue Sep 9, 2020 · 0 comments
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Disable opt_reweighted in LinearIntentToTreatDRIV #280

vsyrgkanis opened this issue Sep 9, 2020 · 0 comments
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@vsyrgkanis
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We should disable the opt_reweighted here and hard code it to False.
https://github.com/microsoft/EconML/blob/ffdfda8bf733313fde4f5f762b6fa3c62d7e1531/econml/ortho_iv.py#L1412

First: for linear models it most definitely will be a projection of the cate and not well-specifided.
Second: the current version cannot handle opt_rewieghted and will throw an error. The reason being that StatsModelsLinearRegression can only handle integer weights when doing inference with sample weights and treats these weights as composite observations. However, the weights created by opt_reweighted have a different interpretation. One way to handle these opt_reweighted would be to re-scale the outcome and the features based on the weights and call the statsmodels if we want to enable this flag. But given "first" not clear we want to do this.

@vsyrgkanis vsyrgkanis added the bug Something isn't working label Sep 9, 2020
kbattocchi added a commit that referenced this issue Oct 7, 2020
kbattocchi added a commit that referenced this issue Oct 7, 2020
kbattocchi added a commit that referenced this issue Oct 30, 2020
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