A Double Machine Learning Approach to Combining Experimental and Observational Data

Experimental and observational studies often lack validity due to untestable assumptions. We propose a double machine learning approach to combine experimental and observational studies, allowing practitioners to test for assumption violations and estimate treatment effects consistently. Our framework proposes a falsification test for external validity and ignorability under milder assumptions. We provide consistent treatment effect estimators even when one of the assumptions is violated. However, our no-free-lunch theorem highlights the necessity of accurately identifying the violated assumption for consistent treatment effect estimation. Through comparative analyses, we show our framework's superiority over existing data fusion methods. The practical utility of our approach is further exemplified by three real-world case studies, underscoring its potential for widespread application in empirical research.