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Use the right propensities in DoubleMLPQ's preliminary estimate with external ml_m - #436

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SvenKlaassen merged 2 commits into
DoubleML:mainfrom
AsadGudzevic94:fix-pq-external-ml-m-prelim
Nov 2, 2026
Merged

SvenKlaassen merged 2 commits into
DoubleML:mainfrom
AsadGudzevic94:fix-pq-external-ml-m-prelim

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@AsadGudzevic94

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Description

With external ml_m predictions, the preliminary IPW step now takes the propensities of the units in train_inds_1 (m_hat["preds"][train_inds_1]), in the same order as d_train_1 and y_train_1.

New test in test_pq_external_predictions.py: with a propensity model that ignores its training data, external predictions of it give the same estimate as the model itself (to 1e-9). It fails on main for treatment=1.

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Fixes #431

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@SvenKlaassen
SvenKlaassen self-requested a review November 2, 2026 16:09
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Thanks @AsadGudzevic94,
I just adjusted the test slightly.

@SvenKlaassen
SvenKlaassen merged commit 5e59c28 into DoubleML:main Nov 2, 2026
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DoubleMLPQ: external ml_m predictions are paired with the wrong observations in the preliminary estimate

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