Dual Instrumental Variable Regression

Krikamol Muandet, Arash Mehrjou, Si Kai Lee and Anant Raj

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Abstract: We present a novel algorithm for non-linear instrumental variable (IV) regression, DualIV, which simplifies traditional two-stage methods via a dual formulation. Inspired by problems in stochastic programming, we show that two-stage procedures for non-linear IV regression can be reformulated as a convex-concave saddle-point problem. Our formulation enables us to circumvent the first-stage regression which is a potential bottleneck in real-world applications. We develop a simple kernel-based algorithm with an analytic solution based on this formulation. Empirical results show that we are competitive to existing, more complicated algorithms for non-linear instrumental variable regression.

Date: 2019-10, Revised 2020-10
New Economics Papers: this item is included in nep-ecm
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