Instrumental variable methods are among the most commonly used causal inference approaches to deal with unmeasured confounders in observational studies. The presence of invalid instruments is the primary concern for practical applications, and a fast-growing area of research is inference for the causal effect with possibly invalid instruments. This paper illustrates that the existing confidence intervals may undercover when the valid and invalid instruments are hard to separate in a data-dependent way. To address this, we construct uniformly valid confidence intervals that are robust to the mistakes in separating valid and invalid instruments. We propose to search for a range of treatment effect values that lead to sufficiently many valid instruments. We further devise a novel sampling method, which, together with searching, leads to a more precise confidence interval. Our proposed searching and sampling confidence intervals are uniformly valid and achieve the parametric length under the finite-sample majority and plurality rules. We apply our proposal to examine the effect of education on earnings. The proposed method is implemented in the R package RobustIV available from CRAN.
翻译:无效工具的因果推断:后选择问题及采用搜索和抽样解决方案
工具变量法是处理观测研究中未观测混淆因素的常用因果推断方法之一。无效工具的存在是实际应用中的主要问题,而目前因果效应的推断方法中,则越来越多关于可能存在无效工具的研究。本文提出了一种新的构建置信区间的方法,可以在数据相关时仍然具有稳健性,并且仍然能进行有效推断,有效避免了现有置信区间的研究在分离有效和无效工具方面存在的问题。具体而言,我们提出了一种搜索因果效应的方法,使其具有足够数量的有效工具;同时,我们还设计了一种新的抽样方法,与搜索结合使用,从而获得更精确的置信区间。我们提出的搜索和抽样置信区间保证了相应的参数长度下的一致有效性。我们还将该方法应用于研究教育对收入的影响。该提案已经被实现在 R 包“RobustIV”的CRAN上。