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When Prediction Error Is Not Enough: Evaluating Nuisance-Function Prediction for Causal Estimation

arXiv · AI, language, vision and robotics · article · Aug 30, 2026 · UTC

Prediction error is widely used to evaluate nuisance-function estimators in causal inference, but its relationship with causal estimator performance may differ across performance measures. We studied this question in a partially linear model using Monte Carlo simulations. We compared ordinary least squares (OLS), generalized additive models (GAMs), XGBoost, and Double Machine Learning with XGBoost (DML-XGBoost), evaluating nuisance-function prediction error, bias, RMSE, and 95\% confidence interval coverage. We also examined a simple joint-error measure based on the absolute cross-product of e

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