py-why / py-why/EconML

Better defaults for Metalearners

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@moprescu is already working on this.

Since Sep 23, 2020.

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Description

The Metalearners classes (Tlearner, SLearner, XLearner) could benefit from better default models such as XGBoost or LightGBM models. This could be problematic since econml does not take a direct dependency on these packages and the user might not have them installed.

One idea is to have an auto option for these models that defaults to, say, XGBoost and then falls back to LightGBM and sklearn upon failure. The metalearners are guaranteed to eventually work since econml does take a dependency on sklearn.

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