论文标题

估计和推断高维非参数添加剂仪器变量回归

Estimation and inference for high-dimensional nonparametric additive instrumental-variables regression

论文作者

Niu, Ziang, Gu, Yuwen, Li, Wei

论文摘要

在许多经验研究中,仪器变量的方法为因果推断提供了一种基本和实用的工具,在许多经验研究中,治疗和结果之间存在无法衡量的混淆。这些研究的现代数据(例如来自这些研究的遗传基因组学数据)通常是高维的。由于可能存在真正的非线性关系,因此在文献中考虑了高维线性仪器变量回归,尽管它的简单性可能存在。我们通过考虑仪器和处理之间的非参数添加剂模型,同时在处理和结果之间保持线性模型,以便其中的系数可以直接进行因果解释,从而提出了一种更具数据驱动的方法。我们提供了一个两阶段的框架,用于在此更一般的设置下进行估计和推断。首先采用了组的套索正则化来从高维添加剂模型中选择最佳仪器,然后将结果变量从添加剂模型的拟合值上回归,以识别和估计重要的治疗效果。我们提供了对拟议估计量的估计误差的非反应分析。进一步采用了一个辩论程序来产生有效的推断。广泛的数值实验表明,我们的方法可以与文献中的现有方法匹配或胜过现有的方法。我们最终分析了小鼠肥胖数据,并从我们的方法中讨论了新发现。

The method of instrumental variables provides a fundamental and practical tool for causal inference in many empirical studies where unmeasured confounding between the treatments and the outcome is present. Modern data such as the genetical genomics data from these studies are often high-dimensional. The high-dimensional linear instrumental-variables regression has been considered in the literature due to its simplicity albeit a true nonlinear relationship may exist. We propose a more data-driven approach by considering the nonparametric additive models between the instruments and the treatments while keeping a linear model between the treatments and the outcome so that the coefficients therein can directly bear causal interpretation. We provide a two-stage framework for estimation and inference under this more general setup. The group lasso regularization is first employed to select optimal instruments from the high-dimensional additive models, and the outcome variable is then regressed on the fitted values from the additive models to identify and estimate important treatment effects. We provide non-asymptotic analysis of the estimation error of the proposed estimator. A debiasing procedure is further employed to yield valid inference. Extensive numerical experiments show that our method can rival or outperform existing approaches in the literature. We finally analyze the mouse obesity data and discuss new findings from our method.

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