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Improving the robustness and efficiency of covariate‐adjusted linear instrumental variable estimators

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  • Stijn Vansteelandt
  • Vanessa Didelez

Abstract

Two‐stage least squares estimators and variants thereof are widely used to infer the effect of an exposure on an outcome using instrumental variables (IVs). Two‐stage least squares estimators enjoy greater robustness to model misspecification than other two‐stage estimators but can be inefficient when the exposure is non‐linearly related to the IV (or covariates). Locally efficient double‐robust estimators overcome this concern. These make use of a possibly non‐linear model for the exposure to increase efficiency but remain consistent when that model is misspecified, so long as either a model for the IV or for the outcome model is correctly specified. However, their finite sample performance can be poor when the models for the IV, exposure, and/or outcome are misspecified. We therefore develop double‐robust procedures with improved efficiency and robustness properties under misspecification of some or even all working models. Simulation studies and a data analysis demonstrate remarkable improvements.

Suggested Citation

  • Stijn Vansteelandt & Vanessa Didelez, 2018. "Improving the robustness and efficiency of covariate‐adjusted linear instrumental variable estimators," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 45(4), pages 941-961, December.
    • Handle: RePEc:bla:scjsta:v:45:y:2018:i:4:p:941-961
    DOI: 10.1111/sjos.12329
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    Cited by:

    1. Zichen Deng & Maarten Lindeboom, 2021. "Early-life Famine Exposure, Hunger Recall and Later-life Health," Tinbergen Institute Discussion Papers 21-054/V, Tinbergen Institute.
    2. Zichen Deng & Maarten Lindeboom, 2021. "Early-life Famine Exposure, Hunger Recall and Later-life Health," Papers 2021-04, Centre for Health Economics, Monash University.
    3. Zichen Deng & Maarten Lindeboom, 2022. "Early‐life famine exposure, hunger recall, and later‐life health," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 771-787, June.
    4. Deng, Zichen & Lindeboom, Maarten, 2021. "Early-Life Famine Exposure, Hunger Recall and Later-Life Health," IZA Discussion Papers 14487, Institute of Labor Economics (IZA).
    5. Muhammad Qasim, 2024. "A weighted average limited information maximum likelihood estimator," Statistical Papers, Springer, vol. 65(5), pages 2641-2666, July.

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