Improving the robustness and efficiency of covariate-adjusted linear instrumental variable estimators

DOI10.1111/SJOS.12329MaRDI QIDQ4646958zbMATHOpenAlexWikidataFDO

Authors Stijn Vansteelandt, Vanessa Didelez

Publication date 3 January 2019

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.01770

zbMATH Keywords

instrumental variablebiasmodel misspecificationsemiparametric efficiencyconfoundingdouble robustness

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to social sciences (62P25)

Abstract: Two-stage least squares (TSLS) estimators and variants thereof are widely used to infer the effect of an exposure on an outcome using instrumental variables (IVs). They belong to a wider class of two-stage IV estimators, which are based on fitting a conditional mean model for the exposure, and then using the fitted exposure values along with the covariates as predictors in a linear model for the outcome. We show that standard TSLS estimators enjoy greater robustness to model misspecification than more general two-stage estimators. However, by potentially using a wrong exposure model, e.g. when the exposure is binary, they tend to be inefficient. In view of this, we study double-robust G-estimators instead. These use working models for the exposure, IV and outcome but only require correct specification of either the IV model or the outcome model to guarantee consistent estimation of the exposure effect. As the finite sample performance of the locally efficient G-estimator can be poor, we further develop G-estimation procedures with improved efficiency and robustness properties under misspecification of some or all working models. Simulation studies and a data analysis demonstrate drastic improvements, with remarkably good performance even when one or more working models are misspecified.

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Cited in

(14)

• Sensitivity analysis of G-estimators to invalid instrumental variables
• An introduction to proximal causal inference
• A weighted average limited information maximum likelihood estimator
• Conditional sparse boosting for high-dimensional instrumental variable estimation
• Data-adaptive doubly robust instrumental variable methods for treatment effect heterogeneity
• Robust best linear estimator for Cox regression with instrumental variables in whole cohort and surrogates with additive measurement error in calibration sample
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• The GENIUS approach to robust Mendelian randomization inference
• Improved methods for moment restriction models with data combination and an application to two-sample instrumental variable estimation
• Correcting instrumental variables estimators for systematic measurement error
• Doubly robust instrumental variable regression
• Formulating causal questions and principled statistical answers
• Two-sample instrumental variable analyses using heterogeneous samples
• A natural robustification of the ordinary instrumental variables estimator

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