Fighting Noise with Noise: Causal Inference with Many Candidate Instruments
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Instrumental variable methods provide useful tools for inferring causal effects in the presence of unmeasured confounding. To apply these methods with large-scale data sets, a major challenge is to find valid instruments from a possibly large candidate set. In practice, most of the candidate instruments are often not relevant for studying a particular exposure of interest. Moreover, not all relevant candidate instruments are valid as they may directly influence the outcome of interest. In this article, we propose a data-driven method for causal inference with many candidate instruments that addresses these two challenges simultaneously. A key component of our proposal is a novel resampling method that constructs pseudo variables to remove irrelevant candidate instruments having spurious correlations with the exposure. Theoretical and synthetic data analyses show that the proposed method performs favourably compared to existing methods. We apply our method to a Mendelian randomization study estimating the effect of obesity on health-related quality of life.
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