Chunxiao Li

Chunxiao Li
External address: 
Boston, Massachusetts
Graduation Year: 

Employment Info

Data Scientist
Boston Consulting Group, Gamma
Jun 2019 - Present

Master's Thesis

Rethinking Nonlinear Instrumental Variables

Instrumental variable (IV) models are widely used in the social and health sciences in situations where a researcher would like to measure a causal effect but cannot perform an experiment. Formally checking the assumptions of an IV model with a given dataset is impossible, leading many researchers to take as given a linear functional form and two-stage least square fitting procedure. In this paper, we propose a method for evaluating the validity of IV models using observed data and show that, in some cases, a more flexible nonlinear model can address violations of the IV conditions. We also develop a test that detects violations in the instrument that are present in the observed data. We introduce a new version of the validity check that is suitable for machine learning and provides optimization-based techniques to answer these questions. We demonstrate the method using both the simulated data and a real-world dataset.