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Valid Causal Inference with (Some) Invalid Instruments

Author

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  • Jason Hartford
  • Victor Veitch
  • Dhanya Sridhar
  • Kevin Leyton-Brown

Abstract

Instrumental variable methods provide a powerful approach to estimating causal effects in the presence of unobserved confounding. But a key challenge when applying them is the reliance on untestable "exclusion" assumptions that rule out any relationship between the instrument variable and the response that is not mediated by the treatment. In this paper, we show how to perform consistent IV estimation despite violations of the exclusion assumption. In particular, we show that when one has multiple candidate instruments, only a majority of these candidates---or, more generally, the modal candidate-response relationship---needs to be valid to estimate the causal effect. Our approach uses an estimate of the modal prediction from an ensemble of instrumental variable estimators. The technique is simple to apply and is "black-box" in the sense that it may be used with any instrumental variable estimator as long as the treatment effect is identified for each valid instrument independently. As such, it is compatible with recent machine-learning based estimators that allow for the estimation of conditional average treatment effects (CATE) on complex, high dimensional data. Experimentally, we achieve accurate estimates of conditional average treatment effects using an ensemble of deep network-based estimators, including on a challenging simulated Mendelian Randomization problem.

Suggested Citation

  • Jason Hartford & Victor Veitch & Dhanya Sridhar & Kevin Leyton-Brown, 2020. "Valid Causal Inference with (Some) Invalid Instruments," Papers 2006.11386, arXiv.org.
  • Handle: RePEc:arx:papers:2006.11386
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    References listed on IDEAS

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    4. Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
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    6. Rahul Singh & Maneesh Sahani & Arthur Gretton, 2019. "Kernel Instrumental Variable Regression," Papers 1906.00232, arXiv.org, revised Jul 2020.
    7. Hyunseung Kang & Anru Zhang & T. Tony Cai & Dylan S. Small, 2016. "Instrumental Variables Estimation With Some Invalid Instruments and its Application to Mendelian Randomization," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(513), pages 132-144, March.
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    Cited by:

    1. Zhang Rui & Imaizumi Masaaki & Schölkopf Bernhard & Muandet Krikamol, 2023. "Instrumental variable regression via kernel maximum moment loss," Journal of Causal Inference, De Gruyter, vol. 11(1), pages 1-42, January.

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