Enable expanded inference interface for bootstrap

Author: kbattocchi

econml/bootstrap.py

@@ -176,8 +176,31 @@ def call(lower=5, upper=95):
                 return call
 
         def get_inference():
-            raise NotImplementedError("The {0} method is not yet supported by bootstrap inference; "
-                                      "consider using a different inference method if available.".format(name))
+            # can't import from econml.inference at top level without creating mutual dependencies
+            from .inference import InferenceResults
+            # TODO: consider treating percentile bootstrap differently since we can work directly with
+            #       the empirical distribution
+            prefix = name[: - len("_inference")]
+            if prefix in ['const_marginal_effect', 'effect']:
+                inf_type = 'effect'
+            elif prefix == 'coef_':
+                inf_type = 'coefficient'
+            elif prefix == 'intercept_':
+                inf_type = 'intercept'
+            else:
+                raise AttributeError("Unsupported inference: " + name)
+
+            def get_inference():
+                pred = getattr(self._wrapped, prefix)
+                stderr = getattr(self, prefix + '_std')
+                d_t = self._wrapped._d_t[0] if self._wrapped._d_t else 1
+                d_t = 1 if prefix == 'effect' else d_t
+                d_y = self._wrapped._d_y[0] if self._wrapped._d_y else 1
+                return InferenceResults(d_t=d_t, d_y=d_y, pred=pred,
+                                        pred_stderr=stderr, inf_type=inf_type,
+                                        pred_dist=None, fname_transformer=None)
+
+            return get_inference
 
         caught = None
         m = None
@@ -202,11 +225,6 @@ def get_inference():
                     return m()
                 except AttributeError as err:
                     caught = err
-            if name.endswith("_inference"):
-                try:
-                    return get_inference()
-                except AttributeError as err:
-                    caught = err
             if self._compute_means:
                 return get_mean()
 

econml/inference.py

@@ -62,16 +62,50 @@ def fit(self, estimator, *args, **kwargs):
                                  bootstrap_type=self._bootstrap_type)
         est.fit(*args, **kwargs)
         self._est = est
+        self._d_t = estimator._d_t
+        self._d_y = estimator._d_y
+        self.d_t = self._d_t[0] if self._d_t else 1
+        self.d_y = self._d_y[0] if self._d_y else 1
 
     def __getattr__(self, name):
         if name.startswith('__'):
             raise AttributeError()
 
         m = getattr(self._est, name)
+        if name.endswith('_interval'):  # convert alpha to lower/upper
+            def wrapped(*args, alpha=0.1, **kwargs):
+                return m(*args, lower=100 * alpha / 2, upper=100 * (1 - alpha / 2), **kwargs)
+            return wrapped
+        else:
+            return m
 
-        def wrapped(*args, alpha=0.1, **kwargs):
-            return m(*args, lower=100 * alpha / 2, upper=100 * (1 - alpha / 2), **kwargs)
-        return wrapped
+    def summary(self, alpha=0.1, value=0, decimals=3, feat_name=None):
+        smry = Summary()
+        try:
+            coef_table = self.coef__inference().summary_frame(alpha=alpha,
+                                                              value=value, decimals=decimals, feat_name=feat_name)
+            coef_array = coef_table.values
+            coef_headers = [i + '\n' +
+                            j for (i, j) in coef_table.columns] if self.d_t > 1 else coef_table.columns.tolist()
+            coef_stubs = [i + ' | ' + j for (i, j) in coef_table.index] if self.d_y > 1 else coef_table.index.tolist()
+            coef_title = 'Coefficient Results'
+            smry.add_table(coef_array, coef_headers, coef_stubs, coef_title)
+        except Exception as e:
+            print("Coefficient Results: ", str(e))
+        try:
+            intercept_table = self.intercept__inference().summary_frame(alpha=alpha,
+                                                                        value=value, decimals=decimals, feat_name=None)
+            intercept_array = intercept_table.values
+            intercept_headers = [i + '\n' + j for (i, j)
+                                 in intercept_table.columns] if self.d_t > 1 else intercept_table.columns.tolist()
+            intercept_stubs = [i + ' | ' + j for (i, j)
+                               in intercept_table.index] if self.d_y > 1 else intercept_table.index.tolist()
+            intercept_title = 'Intercept Results'
+            smry.add_table(intercept_array, intercept_headers, intercept_stubs, intercept_title)
+        except Exception as e:
+            print("Intercept Results: ", str(e))
+        if len(smry.tables) > 0:
+            return smry
 
 
 class GenericModelFinalInference(Inference):

econml/tests/test_bootstrap.py

@@ -295,15 +295,3 @@ def test_stratify_orthoiv(self):
         inference = BootstrapInference(n_bootstrap_samples=20)
         est.fit(Y, T, Z, X=X, inference=inference)
         est.const_marginal_effect_interval(X)
-
-    def test_inference_throws_helpful_error(self):
-        """Test that we see that inference methods are not yet implemented"""
-        T = np.random.normal(size=(1000, 1))
-        Y = T + np.random.normal(size=(1000, 1))
-
-        opts = BootstrapInference(5, 2)
-
-        est = LinearDMLCateEstimator().fit(Y, T, inference=opts)
-
-        with self.assertRaises(NotImplementedError):
-            eff = est.const_marginal_effect_inference()

econml/tests/test_inference.py

@@ -6,6 +6,7 @@
 from sklearn.base import clone
 from sklearn.preprocessing import PolynomialFeatures
 from econml.dml import LinearDMLCateEstimator
+from econml.inference import BootstrapInference
 
 
 class TestInference(unittest.TestCase):
@@ -26,21 +27,23 @@ def setUpClass(cls):
     def test_inference_results(self):
         """Tests the inference results summary."""
         # Test inference results when `cate_feature_names` doesn not exist
-        cate_est = LinearDMLCateEstimator(
-            featurizer=PolynomialFeatures(degree=1,
-                                          include_bias=False)
-        )
-        wrapped_est = self._NoFeatNamesEst(cate_est)
-        wrapped_est.fit(
-            TestInference.Y,
-            TestInference.T,
-            TestInference.X,
-            TestInference.W,
-            inference='statsmodels'
-        )
-        summary_results = wrapped_est.summary()
-        coef_rows = np.asarray(summary_results.tables[0].data)[1:, 0]
-        np.testing.assert_array_equal(coef_rows, ['X{}'.format(i) for i in range(TestInference.d_x)])
+
+        for inference in [BootstrapInference(n_bootstrap_samples=5), 'statsmodels']:
+            cate_est = LinearDMLCateEstimator(
+                featurizer=PolynomialFeatures(degree=1,
+                                              include_bias=False)
+            )
+            wrapped_est = self._NoFeatNamesEst(cate_est)
+            wrapped_est.fit(
+                TestInference.Y,
+                TestInference.T,
+                TestInference.X,
+                TestInference.W,
+                inference=inference
+            )
+            summary_results = wrapped_est.summary()
+            coef_rows = np.asarray(summary_results.tables[0].data)[1:, 0]
+            np.testing.assert_array_equal(coef_rows, ['X{}'.format(i) for i in range(TestInference.d_x)])
 
     class _NoFeatNamesEst:
         def __init__(self, cate_est):