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

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

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: We investigate the behaviour 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, Zhang, Cai and Small (2016, Journal of the American Statistical Association). 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, but 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 randomisation study to estimate the causal effect of BMI on diastolic blood pressure, using data on individuals from the UK Biobank, with 96 single nucleotide polymorphisms as potential instruments for BMI.

Keywords: causal inference; instrumental variables estimation; invalid instruments; Lasso; Mendelian randomisation. (search for similar items in EconPapers)
Pages: 46 pages.
Date: 2016-06-02, Revised 2017-08-08
New Economics Papers: this item is included in nep-ecm and nep-net
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2019)
Working Paper: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2017)
Working Paper: On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:16/674

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