Code for
Causal Gradient Boosting: Boosted Instrumental Variable Regression
Edvard Bakhitov and Amandeep Singh
https://arxiv.org/abs/2101.06078
Before running any script you need to install the boostIV package by running
python setup.py install
The main dependencies are numpy, sklearn and numdifftools which will be automatically downloaded
by running the setup.py command above.
This will install the package boostIV on your local python environment, which contains boostIV and post-boostIV estimators
from the paper.
The folder DeepGMM contains the source files from the git repo https://github.com/CausalML/DeepGMM
that contains the code from the work of Bennet et al. "Deep Generalized Method of Moments for Instrumental Variable Analysis".
The code in monte_carlo/KIV.py is based on the Matlab codes from the git repo https://github.com/r4hu1-5in9h/KIV
for the paper by Singh et al. "Kernel Instrumental Variable Regression".