Confidence intervals for causal effects with invalid instruments by using two‐stage hard thresholding with voting

Zijian Guo, Hyunseung Kang, T. Tony Cai and Dylan S. Small

Journal of the Royal Statistical Society Series B, 2018, vol. 80, issue 4, 793-815

Abstract: 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.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://doi.org/10.1111/rssb.12275

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:80:y:2018:i:4:p:793-815

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().