Only point estimates available

Hi,

I am trying to recover inference intervals after:

cate.fit(Y, T[:,0], X=XW, Z=Z, cache_values=True, inference='auto')

I am using DMLIV.
However, when typing:

cate.const_marginal_effect_interval(XW)

the following error appears:

AttributeError                            Traceback (most recent call last)
<ipython-input-24-f4012d0e6611> in <module>
----> 1 cate.const_marginal_effect_interval(XW, alpha=0.01)[0][:,0]

~/opt/anaconda3/envs/pharma_env/lib/python3.8/site-packages/econml/_ortho_learner.py in const_marginal_effect_interval(self, X, alpha)
    769         X, = check_input_arrays(X)
    770         self._check_fitted_dims(X)
--> 771         return super().const_marginal_effect_interval(X, alpha=alpha)
    772     const_marginal_effect_interval.__doc__ = LinearCateEstimator.const_marginal_effect_interval.__doc__
    773 

~/opt/anaconda3/envs/pharma_env/lib/python3.8/site-packages/econml/_cate_estimator.py in call(self, *args, **kwargs)
    252             name = m.__name__
    253             if self._inference is not None:
--> 254                 return getattr(self._inference, name)(*args, **kwargs)
    255             else:
    256                 raise AttributeError("Can't call '%s' because 'inference' is None" % name)

~/opt/anaconda3/envs/pharma_env/lib/python3.8/site-packages/econml/inference/_inference.py in const_marginal_effect_interval(self, X, alpha)
    132 
    133     def const_marginal_effect_interval(self, X, *, alpha=0.1):
--> 134         return self.const_marginal_effect_inference(X).conf_int(alpha=alpha)
    135 
    136     def const_marginal_effect_inference(self, X):

~/opt/anaconda3/envs/pharma_env/lib/python3.8/site-packages/econml/inference/_inference.py in conf_int(self, alpha)
    868         """
    869         if self.stderr is None:
--> 870             raise AttributeError("Only point estimates are available!")
    871         if np.isscalar(self.point_estimate):
    872             return _safe_norm_ppf(alpha / 2, loc=self.point_estimate, scale=self.stderr),\

AttributeError: Only point estimates are available!

what is going on here?

Thank you

Start with econml/_ortho_learner.py and econml/inference/_inference.py, following const_marginal_effect_interval through the inference object for DMLIV. Check how inference='auto' is configured and whether existing tests cover interval estimates; done should clarify or correct the behavior and verify it with a regression test.