On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments
存在部分无效工具变量时Lasso在工具变量估计中的使用
We investigate the behavior of the Lasso for selecting invalid instruments in linear instrumental variables models for estimating causal effects of exposures on outcomes, as proposed recently by Kang et al. Invalid instruments are such that they fail the exclusion restriction and enter the model as explanatory variables. We show that for this setup, the Lasso may not consistently select the invalid instruments if these are relatively strong. We propose a median estimator…