Data-Driven Selection of Instrumental Variables for Additive Nonlinear, Constant Effects Models

We consider the problem of selecting instrumental variables from observational data, a fundamental challenge in causal inference. Existing methods mostly focus on additive linear, constant effects models, limiting their applicability in complex real-world scenarios.In this paper, we tackle a more general and challenging setting: the additive non-linear, constant effects model. We first propose a novel testable condition, termed the Cross Auxiliary-based independent Test (CAT) condition, for selecting the valid IV set. We show that this condition is both necessary and sufficient for identifying valid instrumental variable sets within such a model under milder assumptions. Building on this condition, we develop a practical algorithm for selecting the set of valid instrumental variables. Extensive experiments on both synthetic and two real-world datasets demonstrate the effectiveness and robustness of our proposed approach, highlighting its potential for broader applications in causal analysis.

We consider the problem of selecting instrumental variables from observational data, a fundamental challenge in causal inference. Existing methods mostly focus on additive linear, constant effects models, limiting their applicability in complex real-world scenarios.In this paper, we tackle a more general and challenging setting: the additive non-linear, constant effects model. We first propose a novel testable condition, termed the Cross Auxiliary-based independent Test (CAT) condition, for selecting the valid IV set. We show that this condition is both necessary and sufficient for identifying valid instrumental variable sets within such a model under milder assumptions. Building on this condition, we develop a practical algorithm for selecting the set of valid instrumental variables. Extensive experiments on both synthetic and two real-world datasets demonstrate the effectiveness and robustness of our proposed approach, highlighting its potential for broader applications in causal analysis.