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Differentially Private Two-Stage Gradient Descent for Instrumental Variable Regression

Machine Learning 2026-02-17 v3 Artificial Intelligence Machine Learning Econometrics Statistics Theory Statistics Theory

Abstract

We study instrumental variable regression (IVaR) under differential privacy constraints. Classical IVaR methods (like two-stage least squares regression) rely on solving moment equations that directly use sensitive covariates and instruments, creating significant risks of privacy leakage and posing challenges in designing algorithms that are both statistically efficient and differentially private. We propose a noisy two-stage gradient descent algorithm that ensures ρ\rho-zero-concentrated differential privacy by injecting carefully calibrated noise into the gradient updates. Our analysis establishes finite-sample convergence rates for the proposed method, showing that the algorithm achieves consistency while preserving privacy. In particular, we derive precise bounds quantifying the trade-off among optimization, privacy, and sampling error. To the best of our knowledge, this is the first work to provide both privacy guarantees and provable convergence rates for instrumental variable regression in linear models. We further validate our theoretical findings with experiments on both synthetic and real datasets, demonstrating that our method offers practical accuracy-privacy trade-offs.

Keywords

Cite

@article{arxiv.2509.22794,
  title  = {Differentially Private Two-Stage Gradient Descent for Instrumental Variable Regression},
  author = {Haodong Liang and Yanhao Jin and Krishnakumar Balasubramanian and Lifeng Lai},
  journal= {arXiv preprint arXiv:2509.22794},
  year   = {2026}
}

Comments

37 pages, 12 figures

R2 v1 2026-07-01T05:59:39.953Z