statspai.deepiv

deepiv

DeepIV: Deep Learning Instrumental Variables (Hartford et al. 2017).

Uses a two-stage neural network approach: Stage 1: Mixture Density Network estimates P(T | Z, X) Stage 2: Response network minimises counterfactual loss using Monte-Carlo samples from the learned treatment distribution.

References

Hartford, J., Lewis, G., Leyton-Brown, K., & Taddy, M. (2017). "Deep IV: A Flexible Approach for Counterfactual Prediction." Proceedings of the 34th International Conference on Machine Learning (ICML). [@hartford2017deep]

DeepIV

Deep Instrumental Variables estimator (Hartford et al. 2017).

Follows the same defaults as Microsoft EconML's DeepIVEstimator. See the module docstring for a discussion of the biased vs unbiased gradient trade-off and when to prefer modern alternatives.

Parameters:

Name	Type	Description	Default
data	DataFrame		required
y	str	Outcome variable.	required
treat	str	Endogenous treatment variable (continuous).	required
instruments	list of str	Excluded instruments.	required
covariates	list of str	Exogenous controls.	required
n_components	int	Gaussian mixture components in the MDN.	10
hidden_layers	tuple of int	Hidden layer sizes.	(128, 64)
first_stage_epochs	int	Stage 1 training epochs.	100
second_stage_epochs	int	Stage 2 training epochs.	100
n_samples	int	MC samples per observation used to form the Stage-2 residual.	1
n_gradient_samples	int	Independent additional samples for the gradient path. 0 reproduces EconML's default (biased but variance-regularized); >= 1 activates Hartford et al.'s paired-sample unbiased gradient estimator.	0
batch_size	int		256
learning_rate	float		0.001
alpha	float	Significance level.	0.05
random_state	int		42
verbose	bool		False

fit

fit() -> CausalResult

Fit the DeepIV model and return causal effect estimates.

Returns:

Type	Description
CausalResult

effect

effect(t0: float, t1: float, X: Optional[ndarray] = None) -> ndarray

Estimate E[Y(t1) - Y(t0) | X] for given treatment levels.

Parameters:

Name	Type	Description	Default
t0	float	Baseline treatment value (original scale).	required
t1	float	Counterfactual treatment value (original scale).	required
X	ndarray	Covariates. If None, uses training data.	None

Returns:

Type	Description
ndarray	Individual-level treatment effects.

deepiv

deepiv(data: DataFrame, y: str, treat: str, instruments: List[str], covariates: List[str], n_components: int = 10, hidden_layers: Tuple[int, ...] = (128, 64), first_stage_epochs: int = 100, second_stage_epochs: int = 100, n_samples: int = 1, n_gradient_samples: int = 0, batch_size: int = 256, learning_rate: float = 0.001, alpha: float = 0.05, random_state: int = 42, verbose: bool = False) -> CausalResult

Estimate causal effects using Deep Instrumental Variables.

Parameters:

Name	Type	Description	Default
data	DataFrame	Input data.	required
y	str	Outcome variable name.	required
treat	str	Endogenous treatment variable name (continuous).	required
instruments	list of str	Excluded instrument variable names.	required
covariates	list of str	Exogenous control variable names.	required
n_components	int	Number of Gaussian mixture components in the MDN (stage 1).	10
hidden_layers	tuple of int	Hidden layer sizes for both networks.	(128, 64)
first_stage_epochs	int	Training epochs for the treatment model (MDN).	100
second_stage_epochs	int	Training epochs for the response model.	100
n_samples	int	Number of MC samples per observation used to form the Stage-2 residual (y - h(t, x)).	1
n_gradient_samples	int	Number of independent additional samples used for the gradient path. When 0 (default), a single set of samples is used, matching Microsoft EconML's default behaviour and producing a biased but variance-regularized gradient estimator. When > 0, two independent sample sets are drawn and the unbiased paired-sample estimator mean((y - h(p, x)) * (y - h(p', x))) from Hartford et al. Section 3.2 is used instead. Set to 1 or higher if you specifically need unbiased gradients (e.g. for asymptotic consistency arguments).	0
batch_size	int	Mini-batch size.	256
learning_rate	float	Adam learning rate.	1e-3
alpha	float	Significance level for confidence interval.	0.05
random_state	int	Random seed for reproducibility.	42
verbose	bool	Print training progress.	False

Returns:

Type	Description
CausalResult

Notes

Use the single-sample default (n_gradient_samples=0) for most applications — it matches EconML, trains roughly 2x faster, and the implicit variance regularization often helps in small samples.

Use n_gradient_samples >= 1 when you need the unbiased gradient (e.g. for theoretical guarantees or when training with very large batches where the bias dominates).

For high-dimensional covariates or weak instruments, consider DeepGMM / DFIV / DualIV instead — see the module docstring for references.

Examples:

>>> result = sp.deepiv(
...     df, y='lwage', treat='educ',
...     instruments=['nearc4'],
...     covariates=['exper', 'expersq'],
... )
>>> print(result.summary())

>>> # Custom architecture with unbiased gradient
>>> result = sp.deepiv(
...     df, y='sales', treat='price',
...     instruments=['cost_shifter'],
...     covariates=['demand_controls'],
...     n_components=20,
...     hidden_layers=(256, 128, 64),
...     first_stage_epochs=200,
...     n_gradient_samples=1,   # paired-sample unbiased gradient
... )