工具变量 两阶段的协变量_综合工具变量

工具变量 两阶段的协变量

I love papers that make you go “This is obvious in hindsight. Why did nobody try it before?” Some NLP folks made this remark about Transformers (“Attention Is All You Need”). To me, “The Blessings of Multiple Causes” evokes a similar feeling: why didn’t people create synthetic instruments?

我喜欢那些能助您一臂之力的论文。 为什么以前没有人尝试过？” 一些NLP人士对《变形金刚》发表了这样的评论(“ 注意就是你所需要的 ”)。 对我来说，“ 多重原因的祝福 ”让人想起类似的感觉：人们为什么不创造合成工具？

先决条件 (Prerequisites)

This article assumes basic familiarity with causal DAGs and causal inference. If you are unfamiliar with those terms, read the last third of my previous article on causality to get a brief overview.

本文假定对因果DAG和因果推理有基本的了解。 如果您不熟悉这些术语，请阅读上一篇有关因果关系的文章的后三分之一，以进行简要概述。

Additionally, while there are many ways of creating synthetic instruments, this article uses probabilistic PCA as it’s one of the most generic methods. If you don’t know much about PCA, I suggest reading this wonderful and intuitive explanation.

此外，尽管有很多创建合成工具的方法，但是本文使用概率PCA作为最通用的方法之一。 如果您对PCA不太了解，我建议您阅读此精彩而直观的说明 。

什么是仪器？ (What Are Instruments?)

Instrumental variables have been around for a long time and can be said to be one of the backbones of econometrics. We are concerned with this DAG:

工具变量已经存在很长时间了，可以说是计量经济学的骨干之一。 我们关注此DAG：

U is an unobserved confounder. We want to estimate the causal eff