py-why / py-why/EconML

Features X and W in DML

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Description

Hi all,

In DML, what kind of features can we add into X and W?

Take price elasticity estimation as an example, is this correct that only features uncorrelated (orthogonal) with current price can be added into X and W? Is lagged price or lagged sales a valid feature? Will collinearity between lagged price and current price bias the result of elasticity estimation?

Please help me. Thanks!

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Research direction

The issue names DML features X and W and asks about price elasticity, lagged price, lagged sales, and collinearity, but provides no file, test, or entry point. First clarify whether the goal is documentation or an implementation change; done would require a project-specific explanation of valid features and how these cases affect the estimation.

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Assessment

Tech stack
machine-learning
Domain
machine-learning
Issue type
Documentation
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
20/100

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