Orthogonal Random Forest for Heterogeneous Treatment Effect Estimation

We study the problem of estimating heterogeneous treatment effects from observational data, where the treatment policy on the collected data was determined by potentially many confounding observable variables. We propose orthogonal random forest1, an algorithm that combines orthogonalization, a technique that effectively removes the confounding effect in two-stage estimation, with generalized random forests [Athey et al., 2017], a flexible method for estimating treatment effect heterogeneity. We prove a consistency rate result of our estimator in the partially linear regression model, and en route we provide a consistency analysis for a general framework of performing generalized method of moments (GMM) estimation. We also provide a comprehensive empirical evaluation of our algorithms, and show that they consistently outperform baseline approaches.