Limited-Information Maximum Likelihood based Model Selection Procedures for Binary Outcomes
Abstract
Unmeasured covariates constitute one of the important problems in causal inference. Even if there are some unmeasured covariates, some instrumental variable methods such as a two-stage residual inclusion (2SRI) estimator, or a limited-information maximum likelihood (LIML) estimator can obtain an unbiased estimate for causal effects despite there being nonlinear outcomes such as binary outcomes; however, it requires that we specify not only a correct outcome model but also a correct treatment model. Therefore, detecting correct models is an important process. In this paper, we propose two model selection procedures: AIC-type and BIC-type, and confirm their properties. The proposed model selection procedures are based on a LIML estimator. We prove that a proposed BIC-type model selection procedure has model selection consistency, and confirm their properties of the proposed model selection procedures through simulation datasets.
Cite
@article{arxiv.2106.07587,
title = {Limited-Information Maximum Likelihood based Model Selection Procedures for Binary Outcomes},
author = {Shunichiro Orihara},
journal= {arXiv preprint arXiv:2106.07587},
year = {2021}
}
Comments
Keywords: Causal inference, Consistency, Limited-information maximum lilkelihood, Model selection, Two-stage residual inclusion, Unmeasured covariates