[Feature Request]: CATE for instrument variable based models

[Tauhmax]

Describe the feature you want to propose or implement

Thanks for the great work! I am just using this package for heterogeneous treatment effect using instrument variables (DoubleMLPLIV). For example, estimate price elasticity for different categories using a supplier-side instrument.

But it seems that this repo only provides this function for non-iv models like DoubleMLPLR.

Propose a possible solution or implementation

I came up with several ideas to modify the data to achieve CATE for each category, like

1. split data into subsets and estimate the ATE for each.

2. Interact the treatment/instrument with category dummy and estimate the effect of constructed treatments using constructed instruments.

Did you consider alternatives to the proposed solution. If yes, please describe

No response

Comments, context or references

But I think these are not neat solution to this problem. Do you think these features have a chance to be implemented in the future? Thanks again!

[SvenKlaassen]

Hello @Tao-Han,

thank you for the suggestion. I agree that this would be a nice additional feature.
We might add this in the future, but this might take while as we are currently quite occupied.