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

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

SUBMITTER: Windmeijer F 

PROVIDER: S-EPMC6817329 | biostudies-literature | 2019

REPOSITORIES: biostudies-literature