Piecewise Linear Instrumental Variable Estimation of Causal Influence
Proceedings of the Eighth International Workshop on Artificial Intelligence and Statistics, PMLR R3:265-271, 2001.
Instrumental Variable (IV) estimation is a powerful strategy for estimating causal influence, even in the presence of confounding. Standard IV estimation requires that the relationships between variables is linear. Here we relax the linearity requirement by constructing a piecewise linear IV estimator. Simulation studies show that when the causal influence of $X$ on $Y$ is non-linear, the piecewise linear is an improvement.