Ontology highlight
ABSTRACT:
SUBMITTER: Windmeijer F
PROVIDER: S-EPMC6817329 | biostudies-literature | 2019
REPOSITORIES: biostudies-literature
Windmeijer Frank F Farbmacher Helmut H Davies Neil N Davey Smith George G
Journal of the American Statistical Association 20181113 527
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 that is consistent when ...[more]