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py-why / EconML

ALICE (Automated Learning and Intelligence for Causation and Economics) is a Microsoft Research project aimed at applying Artificial Intelligence concepts to economic decision making. One of its goals is to build a toolkit that combines state-of-the-art machine learning techniques with econometrics in order to bring automation to complex causal inference problems. To date, the ALICE Python SDK (econml) implements orthogonal machine learning algorithms such as the double machine learning work of Chernozhukov et al. This toolkit is designed to measure the causal effect of some treatment variable(s) t on an outcome variable y, controlling for a set of features x.

Home Page:https://www.microsoft.com/en-us/research/project/alice/

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SHAP Values and DynamicDML yields IndexError: list index out of range

nmwitzig opened this issue · comments

commented

Hi everyone,

If we do the example from the DynamicDML class

from econml.panel.dml import DynamicDML

np.random.seed(123)

n_panels = 100  # number of panels
n_periods = 3  # number of time periods per panel
n = n_panels * n_periods
groups = np.repeat(a=np.arange(n_panels), repeats=n_periods, axis=0)
X = np.random.normal(size=(n, 1))
T = np.random.normal(size=(n, 2))
y = np.random.normal(size=(n, ))
est = DynamicDML()
est.fit(y, T, X=X, W=None, groups=groups, inference="auto")

and then do shap_values = est.shap_values(X)

we get an IndexError IndexError: list index out of range

Im using econml in version 0.14.1 (the problem persists in 0.15.0b1)

Thank you!