Distribution-free predictive inference for individual treatment effects is impossible: any valid set must have infinite expected length under standard assumptions with continuous covariates.
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions.Journal of Econometrics, 188(2):447–465
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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.