How to pass args to the fit function for nuisance models

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Assessment

Difficulty
4/5
Estimated time
3-5 days
Newbie friendliness
45/100
Issue type
Feature
Clarity
Mostly clear
Activity status
Stale
Tech stack
python

Research direction

Read the DRLearner.fit implementation in econml/dr/_drlearner.py around line 458, then compare the LightGBM fit arguments linked in the issue. Determine how arguments could be passed to nuisance-model fit calls, and consider the requested behavior complete when users can supply arguments such as categorical_feature to those models.

Written by the indexing model from the issue text.

Description

There are models only accept certain arguments when calling to the fit function. One such example is the categorical_feature arguments in lightgbm. Econml doesn't seem to pass fit arguments to nuisance models (Cf: DRLearner.fit ). Is there a way to pass arguments to the fit functions of the nuisance models?

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