Multivariable Mendelian randomization with weak instruments: a comparison of Bayesian and frequentist methods
弱工具变量下的多变量孟德尔随机化:贝叶斯与频率学派方法比较AI 解读 ↓
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弱工具变量下的多变量孟德尔随机化:贝叶斯与频率学派方法比较AI 解读 ↓
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Weak instruments are a well known limitation for valid causal inference in Mendelian randomization studies. In the single exposure setting, weak instrument bias can be mitigated by selecting genetic instruments which are strongly associated with the exposure according to p-value and/or F-statistic thresholds. However, in the multi-exposure setting, genetic instruments may be strongly associated with an exposure but weakly associated with it conditional on all other exposures in the analysis. It is therefore more difficult to guarantee conditionally strong instruments in multivariable Mendelian randomization. Weak instrument bias can be mitigated using modelling approaches, however there are fewer methods for doing this in the multivariable case compared with the single exposure case. In this paper, we consider a method for mitigating weak instrument bias in multivariable Mendelian randomization using a Bayesian framework: MVMR-Pony. We compare this method with existing frequentist methods. We show using simulation studies that the MVMR-Pony method outperforms the frequentist approaches with respect to bias, coverage, type I error rates, and power, across settings where weak instrument bias arises due to correlated genetic effects, measurement error, and mediation.
贝叶斯树集成估计不依从下的异质性效应:伊利诺伊职场健康研究
Estimating varying treatment effects in randomized trials with noncompliance is inherently challenging since variation comes from two separate sources: variation in the impact itself and variation in the compliance rate. In this setting, existing flexible machine learning methods are sensitive to the weak instruments problem and can yield unstable estimates of heterogeneity when run repeatedly with different initialization or random seeds. Our main methodological…
Two frequent approaches for identifying structural VARs are external instruments, which carry economic content but are often weak, and non-Gaussianity of the shocks, which provides statistical identification but carries no economic meaning. We combine the two strategies in a single generalized method of moments framework. This hybrid approach point-identifies the target shocks while also identifying the non-target shocks up to sign and ordering. Under suitable rank…
BGM-IV:面向高维协变量工具变量回归的贝叶斯生成建模
Instrumental-variable (IV) regression enables causal estimation under endogeneity, but modern IV problems often involve nonlinear structural effects and high-dimensional covariates. Existing methods typically operate in observed or generic learned feature spaces, and they often yield point estimates without uncertainty quantification. We introduce BGM-IV, a Bayesian generative modeling approach that performs nonlinear IV regression through posterior inference in a causally…
机器学习工具变量下的识别与推断
Instrumental-variables estimation increasingly pools many or high-dimensional instruments into a single machine-learned first stage, with rich controls partialled out. The resulting estimand, the partialled-out IV coefficient built from any signal of the instruments, is a signal-weighted average of the heterogeneous effects, which gives an opaque first stage a precise structural meaning. The average is convex whenever a covariance-monotonicity condition holds, and we provide…
修正局部错设的 GMM:经验贝叶斯方法
Econometric models offer parsimonious but inexact approximations to data-generating processes. This paper studies the generalized method of moments (GMM) when exchangeable specification errors of order $n^{-1/2}$ contaminate the moment conditions. I develop estimators for the mean and variance of these specification errors, establishing their consistency in an asymptotic framework where the number of overidentifying restrictions grows with the sample size. These…
时间序列中的动态局部平均处理效应
This paper discusses identification, estimation, and inference on dynamic local average treatment effects (LATEs) in instrumental variables (IVs) settings. First, we show that compliers--observations whose treatment status is affected by the instrument--can be identified individually in time series data using smoothness assumptions and local comparisons of treatment assignments. Second, we show that this result enables not only better interpretability of IV estimates but…