Deep Generalized Method of Moments for Instrumental Variable Analysis

Understand

Instrumental variable analysis is a powerful tool for estimating causal effects when randomization or full control of confounders is not possible.

• The application of standard methods such as 2SLS, GMM, and more recent variants are significantly impeded when the causal effects are complex, the instruments are high-dimensional, and/or the treatment is high-dimensional.
• In this paper, we propose the DeepGMM algorithm to overcome this.
• Our algorithm is based on a new variational reformulation of GMM with optimal inverse-covariance weighting that allows us to efficiently control very many moment conditions.