Distribution-free predictive inference for individual treatment effects is impossible: any valid set must have infinite expected length under standard assumptions with continuous covariates.
Conformal inference of counterfactuals and individual treatment effects.Journal of the Royal Statistical Society Series B: Statistical Methodology, 83 (5):911–938
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Impossibility of Distribution-Free Predictive Inference for Individual Treatment Effects
Distribution-free predictive inference for individual treatment effects is impossible: any valid set must have infinite expected length under standard assumptions with continuous covariates.