We introduce the package ddml for Double/Debiased Machine Learning (DDML) in
Stata. Estimators of causal parameters for five different econometric models
are supported, allowing for flexible estimation of causal effects of endogenous
variables in settings with unknown functional forms and/or many exogenous
variables. ddml is compatible with many existing supervised machine learning
programs in Stata. We recommend using DDML in combination with stacking
estimation which combines multiple machine learners into a final predictor. We
provide Monte Carlo evidence to support our recommendation.Comment: The package can be installed from https://github.com/aahrens1/ddml