Causal Gradient Boosting: Boosted Instrumental Variable Regression

Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for this, many variants of nonparameteric instrumental variable regression methods have been developed. In this paper, we propose an alternative algorithm called boostIV that builds on the traditional gradient boosting algorithm and corrects for the endogeneity bias. The algorithm is very intuitive and resembles an iterative version of the standard 2SLS estimator. The proposed estimator is data driven and does not require any functional form approximation assumptions besides specifying a weak learner. We demonstrate that our estimator is consistent under mild conditions. We carry out extensive Monte Carlo simulations to demonstrate the finite sample performance of our algorithm compared to other recently developed methods. We show that boostIV is at worst on par with the existing methods and on average significantly outperforms them.