added warning message and test for issue #837

econml/_ortho_learner.py

@@ -834,6 +834,15 @@ def _fit_nuisances(Y, T, X, W, Z, sample_weight, groups):
                 elif not np.array_equal(fitted_inds, new_inds):
                     raise AttributeError("Different indices were fit by different folds, so they cannot be aggregated")
 
+            if nuisances[1].sum() == 0:
+                raise ValueError(
+                    """
+                    In fitting nuisances, the estimates for E[T|Z,X,W] are identical to E[T|X,W],
+                    resulting in a situation where the rows will all be weighted to zero. Please
+                    examine your instrument variable `Z`. 
+                    """
+                )
+
             if self.mc_iters is not None:
                 if self.mc_agg == 'mean':
                     nuisances = tuple(np.mean(nuisance_mc_variants, axis=0)

econml/tests/test_dmliv.py

@@ -254,3 +254,22 @@ def test_groups(self):
                 est.fit(y, T, Z=Z, X=X, W=W, groups=groups)
                 est.score(y, T, Z=Z, X=X, W=W)
                 est.const_marginal_effect(X)
+
+    def test_row_zero_weight_failure_mode(self):
+        np.random.seed(784)
+
+        n = 100
+        d_x = 3
+
+        Y = np.random.normal(size=(n,))
+        T = np.random.normal(size=(n,))
+        X = np.random.normal(size=(n, d_x))
+        Z = np.random.normal(size=(n,))
+
+        est = NonParamDMLIV(
+            discrete_instrument=False,
+            discrete_treatment=False,
+            model_final=LinearRegression()
+        )
+        with pytest.raises(ValueError, match=r" examine your instrument variable "):
+            est.fit(Y, T, Z=Z, X=X)