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arxiv: 2108.01312 · v2 · pith:OQ54VS3B · submitted 2021-08-03 · econ.EM · cs.LG· stat.AP· stat.ME· stat.ML

Learning Causal Models from Conditional Moment Restrictions by Importance Weighting

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classification econ.EM cs.LGstat.APstat.MEstat.ML
keywords momentrestrictionsconditionalcausalmethodproposedunderimportance
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We consider learning causal relationships under conditional moment restrictions. Unlike causal inference under unconditional moment restrictions, conditional moment restrictions pose serious challenges for causal inference, especially in high-dimensional settings. To address this issue, we propose a method that transforms conditional moment restrictions to unconditional moment restrictions through importance weighting, using a conditional density ratio estimator. Using this transformation, we successfully estimate nonparametric functions defined under conditional moment restrictions. Our proposed framework is general and can be applied to a wide range of methods, including neural networks. We analyze the estimation error, providing theoretical support for our proposed method. In experiments, we confirm the soundness of our proposed method.

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