EconPapers    
Economics at your fingertips  
 

On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments

Frank Windmeijer, Helmut Farbmacher, Neil Davies and George Davey Smith

Journal of the American Statistical Association, 2019, vol. 114, issue 527, 1339-1350

Abstract: We investigate the behavior of the Lasso for selecting invalid instruments in linear instrumental variables models for estimating causal effects of exposures on outcomes, as proposed recently by Kang et al. Invalid instruments are such that they fail the exclusion restriction and enter the model as explanatory variables. We show that for this setup, the Lasso may not consistently select the invalid instruments if these are relatively strong. We propose a median estimator that is consistent when less than 50% of the instruments are invalid, and its consistency does not depend on the relative strength of the instruments, or their correlation structure. We show that this estimator can be used for adaptive Lasso estimation, with the resulting estimator having oracle properties. The methods are applied to a Mendelian randomization study to estimate the causal effect of body mass index (BMI) on diastolic blood pressure, using data on individuals from the UK Biobank, with 96 single nucleotide polymorphisms as potential instruments for BMI. Supplementary materials for this article are available online.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://hdl.handle.net/10.1080/01621459.2018.1498346 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2017) Downloads
Working Paper: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2017) Downloads
Working Paper: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2017) Downloads
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:taf:jnlasa:v:114:y:2019:i:527:p:1339-1350

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UASA20

DOI: 10.1080/01621459.2018.1498346

Access Statistics for this article

Journal of the American Statistical Association is currently edited by Xuming He, Jun Liu, Joseph Ibrahim and Alyson Wilson

More articles in Journal of the American Statistical Association from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-24
Handle: RePEc:taf:jnlasa:v:114:y:2019:i:527:p:1339-1350