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

DOI10.1080/01621459.2018.1498346zbMath1428.62167OpenAlexW2900183310WikidataQ61847261 ScholiaQ61847261MaRDI QIDQ5242480

Helmut Farbmacher, George Davey Smith, Neil Davies, Frank A. G. Windmeijer

Publication date: 12 November 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2018.1498346

zbMATH Keywords

causal inferenceLassoMendelian randomizationinstrumental variables estimationinvalid instruments

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (13)

Regularization statistical inferences for partially linear models with high dimensional endogenous covariates ⋮ Evidence factors from multiple, possibly invalid, instrumental variables ⋮ Doubly debiased Lasso: high-dimensional inference under hidden confounding ⋮ Adjusted empirical likelihood inferences for varying coefficient partially non linear models with endogenous covariates ⋮ Two robust tools for inference about causal effects with invalid instruments ⋮ Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables ⋮ Mendelian Randomization Test of Causal Effect Using High-Dimensional Summary Data ⋮ Causal Inference in Transcriptome-Wide Association Studies with Invalid Instruments and GWAS Summary Data ⋮ Double penalized regularization estimation for partially linear instrumental variable models with ultrahigh dimensional instrumental variables ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Ill-posed estimation in high-dimensional models with instrumental variables ⋮ The GENIUS approach to robust Mendelian randomization inference ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS

Uses Software

• Stata
• ElemStatLearn
• SIVREG

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Confidence Intervals for Causal Effects with Invalid Instruments using Two-Stage Hard Thresholding with Voting
• The Adaptive Lasso and Its Oracle Properties
• Instrumental variables: an econometrician's perspective
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Statistics for high-dimensional data. Methods, theory and applications.
• Least angle regression. (With discussion)
• Detecting invalid instruments using \(L_{1}\)-GMM
• Least squares after model selection in high-dimensional sparse models
• High-dimensional graphs and variable selection with the Lasso
• Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
• The Estimation of Economic Relationships using Instrumental Variables
• Generalized Method of Moments With Many Weak Moment Conditions
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Inference on Treatment Effects after Selection among High-Dimensional Controls
• Instrumental Variable Estimators for Binary Outcomes
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
• Regularization Methods for High-Dimensional Instrumental Variables Regression With an Application to Genetical Genomics
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