Confidence intervals for causal effects with invalid instruments by using two-stage hard thresholding with voting
Confidence intervals for causal effects with invalid instruments by using two-stage hard thresholding with voting
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DOI：
10.1111/rssb.12275
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发表时间：
2018-09-01
影响因子：
5.8
通讯作者：
Small, Dylan S.
中科院分区：
文献类型：
--
作者：
Guo, Zijian;Kang, Hyunseung;Small, Dylan S.
在工具变量(IV)分析中的一个主要挑战是找到有效的工具，或者对结果没有直接影响并且可以忽略的工具。通常，人们不确定是否所有假定的静脉输液实际上都是有效的。我们提出了一种在存在无效IVs的情况下的一般推理过程，称为带有投票的两阶段硬阈值。该程序使用两个硬阈值步骤来选择强大的工具并生成有效静脉输液的候选集合。投票采用候选集，并使用多数和多数规则来确定真正的有效IV集。在工具无效的低维度中，我们的建议正确地选择了有效的IV，一致地估计了因果效应，为因果效应产生了有效的可信区间，并具有先知的最佳宽度，即使违反了所谓的50%规则或多数规则。在高维中，我们建立了几乎相同的结果，而没有先知最优性。在模拟实验中，我们的建议优于无效IV文献中的传统方法和最近的方法。我们还运用我们的方法重新分析了教育对收入的因果影响。
A major challenge in instrumental variable (IV) analysis is to find instruments that are valid, or have no direct effect on the outcome and are ignorable. Typically one is unsure whether all of the putative IVs are in fact valid. We propose a general inference procedure in the presence of invalid IVs, called two-stage hard thresholding with voting. The procedure uses two hard thresholding steps to select strong instruments and to generate candidate sets of valid IVs. Voting takes the candidate sets and uses majority and plurality rules to determine the true set of valid IVs. In low dimensions with invalid instruments, our proposal correctly selects valid IVs, consistently estimates the causal effect, produces valid confidence intervals for the causal effect and has oracle optimal width, even if the so-called 50% rule or the majority rule is violated. In high dimensions, we establish nearly identical results without oracle optimality. In simulations, our proposal outperforms traditional and recent methods in the invalid IV literature. We also apply our method to reanalyse the causal effect of education on earnings.