Two Stage Curvature Identification with Machine Learning: Causal Inference with Possibly Invalid Instrumental Variables
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Publication:65415
DOI10.48550/ARXIV.2203.12808arXiv2203.12808MaRDI QIDQ65415FDOQ65415
Publication date: 24 March 2022
Abstract: We discuss causal inference for observational studies with possibly invalid instrumental variables. We propose a novel methodology called two-stage curvature identification (TSCI), which explores the nonlinear treatment model with machine learning and adjusts for different forms of violating the instrumental variable assumptions. The success of TSCI requires the instrumental variable's effect on treatment to differ from its violation form. A novel bias correction step is implemented to remove bias resulting from potentially high complexity of machine learning. Our proposed TSCI estimator is shown to be asymptotically unbiased and normal even if the machine learning algorithm does not consistently estimate the treatment model. We design a data-dependent method to choose the best among several candidate violation forms. We apply TSCI to study the effect of education on earnings.
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