A Non-parametric Direct Learning Approach to Heterogeneous Treatment Effect Estimation under Unmeasured Confounding
Authors: Xinhai Zhang
Xingye Qiao
Venue: NeurIPS 2024 poster (2024)
Keywords: direct learning
heterogeneous treatment effect
instrumental variable
multiply robustness
unmeasured confounding
Primary area: causal_inference

Abstract: In many social, behavioral, and biomedical sciences, treatment effect estimation is a crucial step in understanding the impact of an intervention, policy, or treatment. In recent years, an increasing emphasis has been placed on heterogeneity in treatment effects, leading to the development of various methods for estimating Conditional Average Treatment Effects (CATE). These approaches hinge on a crucial identifying condition of no unmeasured confounding, an assumption that is not always guaranteed in observational studies or randomized control trials with non-compliance. In this paper, we proposed a general framework for estimating CATE with a possible unmeasured confounder using Instrumental Variables. We also construct estimators that exhibit greater efficiency and robustness against various scenarios of model misspecification. The efficacy of the proposed framework is demonstrated through simulation studies and a real data example.

A Non-parametric Direct Learning Approach to Heterogeneous Treatment Effect Estimation under Unmeasured Confounding
Xinhai Zhang" xzhan2229binghamtton. edu
Xingye Qiao xgiao@binghanton.co edu
Abstract
In many social, behavioral, and biomedical sciences, treatment effect estimation is a crucial step in understanding the impact of an intervention, policy, or treat- ment. In recent years, an increasing emphasis has been placed heterogeneity in treatment effects, leading to the development of various methods for estimating Conditional Average Treatment Effects (CATE). These approaches hinge on a crucial identifying condition of no unmeasured confounding, an assumption that is not always guaranteed in observational studies or randomized control trials with non-compliance. In this paper, we proposed general framework for estimating CATE with possible unmeasured confounder using Instrumental Variables. We also construct estimators that exhibit greater efficiency and robustness against vari- ous scenarios of model misspecification. The efficacy of the proposed framework is demonstrated through simulation studies and real data example.
Introduction
In various domains, different subjects may exhibit different responses the same set of treatments. The exploration this heterogeneity in the effects resulting from exposure has gained substantial interest in recent years. For instance, inferring the heterogeneous effect of medical treatment
clinical outcome can contribute to the development of personalized treatment (Cai et al. 2011).
A similar concept has found application in personalized marketing well (Chandra al.
2022).
The heterogeneity among subjects can be measured by the disparity in conditional mean outcomes given other covariates, typically referred to the Conditional Average Treatment Effect (CATE). Another problem closely related to the heterogeneity in treatment effects is the optimal Individualized Treatment Regime (ITR), which is decision rule that selects treatments for individuals maximize the expected outcome.
There has been significant development in the literature regarding the estimation of CATE and the optimal ITR in the case of no unmeasured confounding. For example, Q-learning (Qian and Murphy 2011) models the conditional mean outcome under each treatment separately and the estimated CATE is constructed using the difference between the estimated conditional mean outcomes. The success of this method relies the correct specification of the outcome models. To address this issue, direct learning (DL) (Tian et al.] 20144] Qi and Liu 2018) and robust direct learning (RD) (Meng and Qiao 2022) models the conditional contrast between treatments directly, which has been shown to be more robust to model misspecification. Another strand of work approaches with tree-based or forest-based methods. Hill (20TT) and Green and Kern (002)) extended the Bayesian Additive Regression Tree (BART) method of Chipman et al. (2010) for estimating heterogeneous treatment effect, Athhe and Imbens 2016) proposed Causal Trees with an "honest" splitting approach, wherein the partitioning
Department of Mathematics and Statistics, State University of New York Binghamton, Binghamton, NY,
13902, USA.
38th Conference on Neural Information Processing Systems (NcurIPS 2024).

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constructed in one sample, and the treatment effects within each node are estimated using another sample. This methodology is subsequently adopted in Causal Forest (Wager and Athey 2018), which extends the random forest algorithm to estimate heterogeneous treatment effects. On the other hand, optimal ITR estimation aims to determine the optimal decision rule for treatment assignment based on subjects' covariates to maximize the mean outcome. A significant line of work in the field involves transforming ITR estimation into a classification problem through the use of Inverse Probability Weighting (IPW). Notable contributions include Outcome Weighted Learning (OWL) (Zhang et al. Zhao et al. 2012) and Residual Weighted Learning (RWL) (Zhou et al. 2017).
2012
The aforementioned methods all rely on the key assumption of no unmeasured confounding to identify the heterogeneous treatment effect or the optimal ITR. However, this assumption is in most cases unverifiable (if not untrue) in observational studies or randomized controlled trials (RCT) with non- compliance. A well-known approach that takes into account the unmeasured confounding the use of an instrumental variable (IV). A proper IV is usually pre-treatment variable that is independent of any possible unmeasured confounder while correlated with the treatment. For example, in RCT with non-compliance, the random treatment assignment can be considered as an IV while the treatment received is considered the treatment variable. Here these two are clearly correlated since a subject will not receive the treatment if they are not assigned one, though the strength of the correlation may depend on other characteristics such as the education level of the subject.
There is a growing literature on estimating heterogeneous treatment effects or optimal ITR under unmeasured confounding using IV. Imbens and Angrist (1994) identified and estimated the so- called Local Average Treatment Effect (LATE), restricted to the subgroup of the always-compliant population, with the help of an IV. More recently, machine learning methods like Doubly Robust IV (Syrgkanis et al., (2019) and Generalized Random Forest (Athey et al. (2019) have shown their applicability and effectiveness in various settings including unmeasured confounding, particularly when used in conjunction with an IV. Wang and Tchetgen Tchetgen (2018) introduced two alternative assumptions on the unobserved confounders and the IV, which enable the identification the Average Treatment Effect (ATE). They proposed an estimator that has the so-called multiply robustness property, which guarantces consistent estimate under three observed data models. These findings were incorporated into Cui and Tchetgen Tchetgen (2021) to obtain optimal ITR estimation while accounting for unmeasured confounding. On the other hand, Frauen and Feuerriegel (2022) utilized these findings for CATE estimation.
In this paper, we propose a new framework for estimating CATE using IV when there exist unmeasured confounders. This framework can be viewed as extension of the Direct Learning method under unconfoundedness to the case that allows the existence of unmeasured confounding. We call the proposed method Direct Learning using Instrumental Variables (IV-DL). The proposed framework is easy to implement under many flexible learning methods. Additionally, we introduce several efficient and robust estimators by residualizing the outcome. These estimators have been demonstrated to be robust to multiple model misspecification scenarios.
The rest of this paper is organized as follows. The notations and some related preliminaries are introduced in Section 2 The proposed framework IV-DL is formally introduced in Section 3 In Section 4 [5 we proposed efficient and robust estimators. In Section 6 we conduct simulation studies and compare the performance with existing methods in the literature. A real data example is included in Section Section concludes the paper with a discussion on possible future work. Proofs and additional simulations are provided in the Appendix.
2 Notations and Preliminaries
Denote A E A= (+1,-1 as the binary treatment, and X E X' C I2 the pre-treatment covariates. We adapt the potential outcome framework (Rubin| 1974h in causal inference and denote by Y(a) E R the potential outcome that the subject would have obtained if the received treatment was a E A. The observed outcome is then given by = (AA== = (()) = 1] + Y = -1]. Denote by U the unobserved confounder of the effect of A on Y. Suppose we have access to pre-treatment binary
IV denoted by Z E 2 (+1,-1 -13. Then the complete data consists of independent and identically distributed copies of (Y, A, U, Z), even though only copies of (Y, A, Z) are observed.
2

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Our goal is to estimate the Conditional Average Treatment Effect (CATE), defined as A(r) - (1) - Y z]. As mentioned Section [ most of the prior works are based on the core
assumption of no unmeasured confounding:
Assumption (Unconfoundedness). (a)
This assumption essentially implies that the observed covariates X would suffice to account for the confounding of the effect of A on Y, thereby excluding the presence of U. Under the above assumption of unconfoundedness, it be easily verified that CATE is identified by (xx) E[Y[A= = 1,X = x] A = -1, X = zr|- Q-learning (Qian and Murphy 2011) ) models the two conditional mean outcomes separately and estimates the CATE by taking the difference between these estimates. Consequently, its effectiveness depends on correctly specifying the models for the conditional mean outcomes. Denote the propensity score for the treatment as πT A (a,
PIA a|xx x| for a +1 Direct Learning (Qi and Liu 2018 Tian et al. 2014) propose to directly model for the heterogeneous treatment effect, based on the observation that A(x)
E[AY/TA X = z²]. In other words, one can obtain an estimate of CATE by regressing the modified outcome AY (A, on X. Robust Direct Learning (RD) Meng and Qiao (022) further extends this framework by residualizing the outcome using an estimate of the main effect, which is the average of the two conditional mean outcomes. This method demonstrates double robustness in the sense that it yields consistent estimation of CATE if either the propensity score or the main effect is correctly specified. Despite the success in RCT or observational studies, all the methods mentioned above rely on the unconfoundedness Assumption In the next section, we will introduce a general framework that directly models CATE using an IV approach when there exists unmeasured confounding.
3 Direct Learning with Instrumental Variable Approach
In this paper, we look beyond Assumption] I and consider the existence of an unmeasured confounder U. To establish the identification of CATE in this setting, we approach with the use of a proper IV. We will start with the following assumptions seen in Cui and Tchetgen Tchetgen (202I).
Assumption 2. This assumption consists of five parts as follows:
a. Y(2, 1 (Z, AJJ,) for = +1.
b. Z J A|X.
c. Z T UIX.
d. V(2, = =Y (22 for 2, a +1.
e. 0 < X), < almost surely, where T2(2, = PIZ = =| x) = +1.
Here, (zz a) represents the potential outcome that would be observed if a subject were exposed to treatment a E AA and the IV takes a value of 2 E Z. Assumption 2.a rules out the existence of any other confounder, except for X and U, for the joint effect of Z and A on the outcome Y. However, this unconfoundedness is hidden from the data collected, since is never observed. Assumptions 2.b 2.b.2./providdee us with well-defined IV. Assumption [.6] requires correlation between the IV and the treatment given observed covariates. In many applications, a strong correlation is often necessary to ensure accurate inference in the estimation process. Assumption 2.c guarantees that the causal effect of Z on is not confounded given X; otherwise suffers the same issue as A. Additionally, required by Assumption 2.d the causal effect of Z on Y can only be mediated by the treatment A. In light of this assumption, we omit the argument: z in the potential outcome and denote the common value as (a). Assumption 2.e implies that each subject has a positive chance of having either value of the IV. An example of the relationships between variables that satisfy Assumption is presented in directed acyclic graph in Figure [ assumption on the unmeasured confounder.
In order to identify the CATE, we also need the following
Assumption 3. At least one of the following is true:
a. E A = 1, 1, X, UJ EjA|Z 11 = B|A E|A = 1 b. (11)--Y(-1)))
= =X ((-1)
3

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X
Figure 1: A directed acyclic graph with unmeasured confounding and IV
Assumption states that, conditional on the measured covariates, either the additive effect of Z A is independent of U, or the additive effect of A on Y is independent of U. Now, we finally have identification of the CATE.
Proposition 1. Under Assumptions the CATE can be identified by
Y 1,X = x] E| - -1,
P[A 1 = 1, = P14=112-11,0
ZY
==
(2)
((z))T2(2,))
where T2) PiZ 2|X = 2] and 8(x) P(A = 1/2 1,X = x] PIA = 1 =
-,, = x/ for any X.
The first equality ① was shown in Wang and Tchetgen Tehetgen 2018). which means that the CATE is identified by the conditional Wald estimand. Equation 2 reveals interesting observation that we do not need the realized treatment as long as we have ((x, which can be viewed as the conditional effect of the IV on the treatment given observed covariates. Hereafter, denote the conditional means of Y and A by F (x) E| Z = 2, X = x and (x) = E = 2, X = x]. respectively, for any z E [-1,+ +1} and X.
3.1 Conditional Average Treatment Effect Estimation
In this section, we will introduce the IV-DL framework. Motivated by Equation ). the next lemma offers way to estimate A(x) using inverse propensity score of IV weight. Lemma 1. Under Assumptions
2ZY Tz X) 5(X) - x(x))
A E argmin
Based on Lemma we can adopt many existing regression methods to obtain estimate on CATE by regressing modified outcome on the covariates, weighted by the propensity score for Z. Specifically, given the data (vi, Ti, di, =i ) an estimator âz of the propensity score function and estimator 8 of the effect of Z on A,, the IV-DL estimate for A is given by
f(x) = argmin fer
Σ im1
2z0th f(x.) + AllfILe, 8(24)
n
7z 72( x1,)
where F is a function space with norm term |] To obtain î.. can fit logistic regression of Z on X non-parametric model such as random forest. Since 5 the treatment effect of Z on A, is noteworthy that, under Assumption 3 estimation of 5 can be viewed CATE estimation problem with unconfoundedness. In this case, A may be viewed as binary "outcome" and Z binary "treatment". Thus, we can adopt many existing CATE estimation methods such Q-learning, DL. and Causal Forest.
I|, and À 2 0 the tuning parameter for the regularization
The proposed framework allows a variety of learning methods to model the treatment effect ( For example, under the linear model, may model f(z) / where the regression coefficients

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are 3 and ã; - (1.x7)². Then IV-DL estimator for /3 is
G = argmin BER++I am
1
Σ
1
22,00 - 2
#2 (2))
((1x))
and the CATE ((x) is estimated by f(x)) ( =
In high dimensional setting where p is large, sparse regularization can easily applied here because the optimization is essentially a weighted least square problem. For example, we can use Least Absolute Shrinkage and Selection Operator (LASSO) and the estimator [ is given by
B
lasso
-argmin BER++I n
22,38
+ 1113112,
(2
((z:))
where À > O is the tuning parameter for the l penalty.
In practice, there is guarantee that the true treatment effect follows linear model. For more complex model, we can adopt nonlinear methods such as Kernel Ridge Regression (KRR) and solve
22/t6 ((x,)
2 ( 3 +1) + 13,
argmin
72 TT)
GER*
where K; is the i-th column of the kernel matrix K (1) and K(;,-) is kernel function. KRR might be computationally expensive when dealing with large datasets. In such cases, other machine learning methods capable of solving weighted least squares problem can be considered. Examples include local regression, regression trees, random forests, and neural networks.
3.2 Optimal Individualized Treatment Regime Estimation
In some domains, the optimal Individualized Treatment Regime (ITR) can be of interest. The goal here is to find a mapping d : X + A from a specific class D to maximizes the expected outcome: d A argmax E[Y (xd(X)) where (dd())) is the potential outcome that the subject obtained after receiving treatment d(X), and (d({)) is also known the Value of the regime d.
ITR and CATE are closely related. For example, in the binary treatment setting, the CATE A the difference between two conditional mean outcomes. Assuming greater values of outcome is preferred, then the sign of A will determine which treatment is optimal. can be verified that d' (1:) = sign( A (x)). Therefore, we define the estimated optimal ITR using IV-DL as d(xx) = sign( fz))), where f (x) may be any CATE estimator introduced in the last subsection.
Efficient Estimators by Residualization
In the literature, considerable advancements have been made to enhance the efficiency and robustness of the CATE and optimal ITR estimation. To this end, residualization and augmentation are two common strategies. For example, in the IPW framework for optimal ITR estimation, Zhou al. (017)) and Zhou and Kosorok (2017) proposed to replace the outcome by its residual Y .(x) ) in estimation the optimal regime, where (xx) is an estimate of the weighted average of the conditional mean outcomes. For the estimation of CATE, Meng and Qiao (2022) residualized the outcome by an estimate of the average conditional mean outcomes, FFauen and Feuerriegel (2022) proposed augmenting a preliminary estimate of CATE to enhance the robustness of the estimator.
In this section, we present the Robust Direct Learning using IV approach (IV-RDL.), which involves residualizing the outcome in IV-DL to enhance both efficiency and robustness. We propose two ways of residualization, referred variance when estimating CATE. In Section 5 we show that they have robustness properties when confronted with model misspecification for nuisance variables.
IV-RDLI and IV-RDL,2 respectively. They are shown to reduce the
4.1 Residualization using Function of Covariates
We first consider residualizing the outcome by function of the observed covariates only. Ideally, we would like to find function X + IR that can improve the efficiency of the estimation CATE,
5

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while keeping it consistent. As shown in the following lemma, the consistency of the estimator is in fact preserved under shift of Y by any function the observed covariates.
Lemma 2. For any measurable 9 X + R. and any probability distribution for A,,
(2(Y -x(X)) - -(()) 21 8(X)
)(x))
A E argmin E
( X)
Asymptotically, the variance of the estimator is related to the variance of the derivative of [T2 (2, - 2) f())] the weighted loss for each individual. Hence, natural to choose g that minimize the variance of [x, - See Appendix B for a more detailed discussion using the linear model as an example. The following theorem gives the minimizer.
[2(Y
Z8 f(X)]-
Theorem 1. Among all measurable g X - R, the following function minimize the variance of ((
-((x):
(Z())
6(X)
M1 (x) + =Z x
9 (z) E TZ (2,
(3)
2
There is an interesting interpretation of the optimal function g", which equals the average of n (x) and _²=(x)) Recall that Eq. ① states that CATE under unmeasured confounding is identified by the ratio of two contrasts, where the numerator happens to be n (xx) (z). The residualization strategy amounts to shifting the outcome Y, and hence fu (x) and μu (z) as well. Naturally, shifting both by their average will not affect their difference, but it will reduce the variance. A similar residualization was incorporated in RD under unconfoundedness (Meng and Qiao 2022). where the goal was to learn the contrast between conditional mean outcomes given the two treatments.
In practice, 9" needs be estimated before we can estimate the CATE. There are several approaches to obtain the estimate of g", denoted by g" For example, we can take the average of estimated conditional mean outcomes, i.e., I (xx) (pf (x)++ One can also regress Y/(2 X)) on X, inspired by Eq. (3). Given 9" (z), the IV-RDLI estimator for A is obtained by
2
2(y - -"((x))) -f(ss) + AllfILe.
fx() argmin
Σ 3=1
8(x.)
JEF
In Section we will show that this estimator is robust against misspecification of either g or nz. given that is correctly specified.
4.2 Residualization using Covariates, Treatment, and IV
In this paper, we also consider an alternative way of residualizing the outcome by function h: (X,,, R. Like IV-RDLI, the optimal choice is the function that minimizes the variance while maintaining the consistency of CATE estimation. Among all functions that still convey consistent CATE estimation, the following three equivalent functions minimize the variance of [T2 (z) [2(Y - h(X, A, 28 (X) - f(X)].
(ī u, =) μu (x) + ((x) (x)) 22(z))/2 hi(x, a, = /x)(z) + ((x) (1- - =ō(x))/2
hā(z, 2) =mx (x(x)) + A(x) (a- (x) =ō(x)) /2
(az)
where my (xr) (NY (x) + x and (xr) A (xf(x) (x) (x))/2. The technical details C In practice, all these conditional means (n² Not u and pi²) need to be estimated, together with estimations of π and 8. Additionally, we need to obtain a preliminary estimate of CATE. The IV-RDL2 estimator is constructed by,
provided in the Appendix
2(y: hr (2i, ai, zz)) M(ss)) + AIIIIIF
2
fn(xx) argmin fEF
#z (2i, Fi))
8(x,,)
where ht is estimator for of hi, h2 and hig

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5 Robustness Properties
In this section, investigate the robustness properties of IV-RDLI and IV-RDL2. We start with the following theorem to demonstrate the double robustness property of the IV-RDLI that residualizes the outcome by using ((x).
Theorem 2. Suppose Assumption 2 holds, and we have a consistent estimator of ö, denoted by 8. Let 7 be working model for no and 9 be a working model for g". Then we have
27
(Y (Y-o(x)) -f(x)) )
A E argmin E
SE|X-R]
Xx
8(X)
if either #z(2, = AZ (2, or ((x) = si (a:) almost surely.
Theorem 2 iidiicates that will have doubly robust estimator for A if either æzz or g" is correctly specified when is known or correctly specified. However, the requirement of consistent estimate of 8 would not pose significant issue in practical application, since it is essentially CATE estimation problem under no unmeasured confounding. A consistent estimator for can be found by implementing any state-of-the art CATE estimation method in the literature.
For the IV-RDL2, there are more nuisance variables that need to be estimated. The next theorem shows that IV-RDL2 is robust to various scenarios of misspecified nuisance variables.
Theorem 3. Suppose Assumption
3 holds. Let ut 8, pY, pL R.) R21, m., m and Å be working models for zz. 8, Nr -و uzz μ m.. m and A, respectively. Denote hy, h2 and ha as chosen augmentation formulated according to hi, hü and hig using working estimates. Then we have
A E argmin E SE(X-R) xx) ( (x- - -5(x) )
27
8(X)
if any one of the following condition is satisfied: (1) = zz and Å A almost surely, and h can be any one of h2 h2 and h3. (2) 7z T2 and 8 8 almost surely, and h can be any one of hy, hı2 and has (3) p. nr, p9 = م³ and Â
almost surely, and h hr. (4) j = -h = = and Å = A almost surely, and h = Tuz. (5) m = my, m. = m and = almost
surely, and h hgs (6) m. mY. mm m and 5 almost surely, and h hs-
Theorem summarizes in total six cases of the minimal combination of correctly specified nuisance variables in order to have a consistent estimate of CATE. The three choices of residualization functions possess robustness against different scenarios. In the first two scenarios, obtaining consistent estimate of CATE is guaranteed as long as we correctly specify тz and either A or 8. This consistency holds irrespective of the choice of the three h functions. In practice, the second scenario may be particularly accessible, especially when T2 known. The other scenarios are less likely be verified in practice and therefore requires more domain knowledge of the data structure. Specifically, scenarios (3)-(5) requires the corresponding set of conditional means to be correctly specified as well as the preliminary A. Lastly, in scenario (6), when 8 and the averages of conditional means are correctly specified, the IV-RDL2 will also provide a consistent estimate of CATE.
While working on this paper, we encountered unpublished work by Frauen and Feuerriegel (2022) that is similar to our IV-RDL2 estimator. Inspired by Wang and Tchetgen Tchetgen (2018). Frauen and Feuerriegel introduced the MRIV framework, which is two-step process. First, a preliminary estimator of CATE and nuisance estimators of Tz. ,Y and أ are obtained. Then, a pseudo- outcome is created by augmenting the preliminary CATE with the nuisance estimates, and the final CATE estimator is obtained by regressing the pseudo-outcome on the covariates. As shown in Wang and Tchetgen Tchetgen| (018)) this estimator is robust against model misspecification of the nuisance variables three of the six scenarios Theorem 33 (scenarios (1), (2), and (4)). Our numerical studies have shown that our proposed IV-DL framework performs better than the MRIV method.
7

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Simulation Study
In this section, we present the results of the simulation study conducted to assess the performance of the proposed IV-DL framework. We compared the proposed method with Bayesian additive regression trees (BART: Chipman et al. 2010), robust direct learning (RD: Meng and Qiao 2022).
causal forest with IV approach (CF: Athey al. 2019), MRIV method (Frauen and Feuerriegel 2022). and weighted learning with IV approach (IPW-MR: Cui and Tchetgen Tchetgen 2021).
6.1 Simulation Settings
We begin by introducing the data-generating mechanism. The covariates, denoted as X (X1, X2, X3, X Xs), were generated from uniform distribution with X; Unif(-1,1) for i = 1,...,.. 5. We followed Cui and Tchetgen Tchetgen (22TT) and generated the treatment A under logistic model with probability for success: P(A= 1| Z, Z,U) = expit (2X; 2.5Z 0.5U), where the instrumental variable Z was Bernoulli random variable with probability 1/2 and U was the unobserved confounder that followed Bridge distribution with parameter e 1/2. By the results from Wang and Louis (2003), the above usage of Bridge distribution will guarantee that the marginal distribution [(A] X, 2) can be modeled directly by logistic regression. other words, there exists 1 2)} a X1, 2).
some vector a such that logit (P (PP
The outcome Y was generated in two different settings corresponding linear and non non-linear models of the true CATE:
+e 2. Y = 1(X) + (exp(e(X)) +
1. Y = h(X) +
where the error term c follows (00, 1). Functions h(X) and ((X) are defined as follows:
h(X)= 0.5 + 0.5X, - 0.8X. + 0.3X, 0.5X + 0.7.5
(X) 0.2 0.6.X, 0.8X2
In Setting the true CATE is 2x(x), which is linear r.. Setting 2, the true CATE is (<erp(g(x)) 1), which is nonlinear. The sample size for each setting 500 and the simulation was repeated 100 times. An independent sample of size 5000 was used to evaluate the performance of different methods. The proposed methods were implemented according to Sections 3 and 4 with 8(X) estimated by causal forest ("grf" package) and the other nuisance variables estimated by random forest. For methods that require to estimate the same nuisance variable, they shared the same copies of nuisance estimates.
6.2 Numerical Results
We compared all methods based on three performance metrics in the testing sample: the correct classification rate by the estimated ITR (AR); the value function evaluated at the estimated ITR (Value); the mean squared error the estimated CATE (MSE). Table rreportss the mean and standard error of these three evaluation metrics over 100 replications for different methods in the two settings.
Table 1: Simulation results: meanx 10- (SEx100) IPW-MR: the multiply robust weighted learning: BART: Bayesian additive regression trees; RD: robust direct learning; CF: causal forest. The empirical maximum value is 0.998 for setting and 1.01 for setting 2.
BART
RD
IPW-RR
CF
MRIV
IV-DL
IV-RDLI
IV-RDL2
MSE
121(3.4)
97.6(2.9)
NA
89.6(1.8)
66.3(2.3)
55.5(3.8)
40.3(2.9)
42.5(3.3)
AR
66.3(0.7)
71.4(0.5)
84.1(0.7)
79.1(0.7)
78.3(0.6)
81.4(1)
84.6(0.8)
83.7(1)
Value
75.4(0.8)
81.6(0.5)
84.1(0.7)
85.4(0.7)
84.5(0.7)
87.1(1)
89.9(0.9)
88.9(1.1)
MSE
449(11.1)
397(9.8)
NA
149(2.9)
150(5.6)
164(8.9)
140(7.7)
142(7.4)
AR
57.6(0.6)
60.8(0.7)
55.5(0.3)
70.1(1)
68.8(0.9)
77.1(0.9)
77.9(0.8)
77.2(0.9)
Value
53.1(1.6)
61(1.))
81.6(0.2)
83.5(1.2)
81.6(1)
89.9(1)
90.6(0.9)
90(1)

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Among the methods implemented, BART and RD rely on the unconfoundedness assumption and therefore fail to identify CATE when there unobserved confounding. Both IPW-MR and CF make use of the IV to take unmeasured confounding into account. IPW-MR had fine performances on estimating ITR and maximizing the value. However, it was not designed to estimate CATE. CF performs slightly worse than IPW-MR in terms of AR and value in Setting 1, despite offering CATE estimation. Its performance is more competitive compared to IPW-MR in Setting 2. Our proposed methods showed superior performances on all the metries. In particular, IV-RDL1, which residualized the outcome using averages of the estimated conditional means, outperformed all the methods in both settings. IV-RDL2 had a more complicated residualization, and achieved the second- best performance (but still fairly close to IV-RDL1). Even the unresidualized IV-DL performed better than other methods in most of the metrics. Additional simulation results on testing the robustness of the proposed framework is reported in Appendix D
7 Data Analysis
In this section, following Angrist and Evans (1998). we study the causal effect of child-rearing on a mother's labor-force participation, using a sample of married mothers with two or more children from the U.S. 1980 census data (80PUMS). Assuming the sex of children is random, "first two children mixed sex or not" becomes a suitable instrumental variable for the causal effect of having a third child on a mother's s labor force participation. |Aggrstt and Evans showed that having a third child reduces women's 's labor force participation on average. Our goal is investigate heterogeneity among families, offering personalized insights on the decision to have a third child and its impact on employment opportunities. We used a dataset of 478,005 subjects with at least two children. The outcome, Y, represents whether the mother was employed in the year preceding the census. The treatment, A. indicates whether the mother had three or more children at the census time, and the instrumental variable, Z, indicates whether the first two children were of the same sex. We considered five covariates, X: mother's 's age at first birth, age at census time, years of education, race, and the father's income.
10%
AAEEM + 33-5M
Subgroupe
31%
INCOMED
-04
2000
59%%
INCOMFD +
XPA
4%
4T%
Dxlimeted CATE
Figure 2: Tree splitting of estimated CATE on covariates. The five leaf nodes shall be numbered 1-5.
Figure 3: Histograms of estimated CATE in three majority subgroups
We used the random forest algorithm for both the implementation of the proposed method and the estimation of the nuisance variables n. W 5, and π.. The preliminary CATE estimator was formulated according to Eq. D with plug-in estimates on the conditional means. To identify subgroups with distinct treatment effects, we used the estimated CATE as the response construct a regression tree, shown in Figure 2 The splits occurred at the mother's age at census (33), age at first birth (23), and father's income Ik/yer and $26k/year). By investigating the five subgroups (32%, 4%. 3%, 15% and 47% of the sample), labeled as groups 1-5, we have made the following observations. First, older mothers are more likely work after having a third child (subgroups 4 and 5 show a larger estimated treatment effect). Second, younger mothers with very low-income fathers (subgroup 3) tend to stay the labor force after the third child. Lastly, younger mothers are more likely to stop working if their husband's income is between $2. 1k and $26k/year (subgroups 1-3). Figure 3 displays the histogram of estimated CATE for the three majority groups (1, 4, and 5). The estimated CATE for group is overall smaller than for groups 4 and 5, We also constructed 3- 3-dimensional scatter
9

---

plots based on the three splitting variables for a more detailed look at the heterogeneity (shown in Appendix
Conclusions
In this paper, we proposed new framework estimate CATE under unmeasured confounding by using an instrumental variable. Under the proposed framework, the estimation procedure boils down to solving weighted least square problem, which can be tackled with any modern statistical or machine learning method. We also constructed two robust estimators by residualizing the outcome, which are shown to be more efficient and robust to model misspecification on nuisance variables. Numerical studies have shown very competitive performance for our proposed methods.
potential extension of work involves using IV estimate treatment effects for multi-arm and continuous treatments, with the challenge lying in the generalization of Assumption 3 Another avenue is to incorporate deep neural networks make use of their rich expressiveness for data distribution. However, the empirical performance and theoretical properties need to be formally studied. One notable limitation the issue of extreme weights, which can arise during the estimation process and potentially lead to instability and biased results. Addressing this limitation is crucial for improving the reliability and accuracy of our method.
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---

A Proofs
Proof of Proposition For any {-1, +1}. we have
Z z, X]
Ey (E|2Y| 2, UI)
Ey (E[Y A)|2 = 2, + =
+ Bu (BYY x)) + -1) = 2,),U
Eu
Ey (
+ Eu
x,
By ((-)xx)(-)) + Byr (B[ - U| XI)))
Evaluate the above equality = and 11 and take the difference. Then we have
2 2 1, - _]
Ey (1)
U1 =1::111,4 X. E|A|Z = - 1.
Based on Assumption 3 we have
E[A|Z = 1, X, U] E[A|Z = - - - = -. Combining the above two, we have
B 1, X] 2 11
2 Ev ( = 1,
= 11,
E[Y(1) -
1, =
The above equality is equivalent to Equation
1 On the other hand, for any X,
ZY
E
X
(2,
-Y
= T2 x
1, 1 + -
== -=-,,-=1
=
T2 (1, X)
TZ (2(-1,X)
Z|
=
Dividing both sides of the above equality by 6(x) = P|A 1,X = x] PIA = 11,
yields Equation (2)
Lemma 3. Let f) E[Q(X,)IX and L() = E)(X,). Denote J E argmin, ((X, s).
Then f E Earmmin, I(()-
Proof. Denote ft E argmin, L(f). Then by definition, we have the following two inequalities:
L(f*) < = = f*)
L(f*) = E((X, & B((X,++)= = L(f
Therefore, - and f argmin y L(f).
Proof of Lemma 7 Let {(X, f) E
2Y ((x)
- f(x)))
X x
By Lemma it suffices to
x2(Z,x)
show A argmin, f(X, f).
The gradient of e(X, f) with respect to f is given by
1
2Y
of (x,
1)
E
s(x))
x
as
(Z, X) 1
T
5(X)
2YZ
2F
s(x))
(Z, X)
8(x)
f(X)
2Y
2B
x
21
X
TZ (Z, X)
o(X) TT X)
4f(X)
4A(X)
Since f(X,f) is convex, we have A argmin, E(X,
12

---

Proof of Lemma Let (f( to show that for any 9. argmin, bg (x, argmin, ((x, f). For any g
22
f(x))
By Lemma 3 suffices
x2(2,x) 8(x)
2YZ 8(X)
f(x) 2g(X)Z
[
(X, E
TZ (2, X)
8(X)
1
2
(20(x)²
=(X, + 2E
6(X) 5(X))
x
(2, X)
8(X)
2Z
+ E
X
ITZ (Z, X)
6(X)
g(X)
g(X)f(X)
Z
f) + +8 (8(X))²
E
X
(Z, (Z, X)
5(X)
(Z
X)
[ 8(X)
2
1
+
E
(2,
Here the second term and the fourth term don't depend on f. and the third term is 0 because X 0. Therefore, argmin, Lg(f) = argmin, L(f).
xz(2.X)
Proof of Theorem 7 For any g(x),, the variance of the derivative of the weighted loss at f is given by
1
2 - 9(())
-(x)))
Var
Tz (Z, X)
5(X)
(2(Y -(())
zA(x)) xxx] )x))
E
E
(Z)
5(X)
E[S(X.9))
Set the gradient of S with respect g equal to Then for any x
we have
4
2(Y g(x))
0 E
ZD(x))
x x=
(Tz)(TZ(Z2
x))²
8(x)
Y
[(z))
2g(x) E
X
2E
X
E
x=
(Tz)
(TZ x2
(Tz(Z,x))²
(x)(x) 2p (x)
(T( + オズ + (-1,x))
(1, +
72 Nz( (-1xx)
(MY (x) - -p (x) T (1, オズ (-1,x1x))
2g(x)(TZ (1, + (-1,x))
= (eT + -x) (TZ (1. _ + (-1,x))
g(z)
2 (MY (x) + (z))
y
= 2 Tzz (7, x)
X =
Additionally, S is convex since argmin, B()(X,g)).
25 Dg
By Lemma
g" E
(1
LI
Proof of Theorem 2 Let (X. E Fz(2,x)
2( - f(x) x b(X)
By Lemma
suffices to show A argmin, (X, if either āz Tz almost surely g almost surely.
13

---

The gradient of (2, with respect to f is given by
(2,
1
1
2(Y - m(X))z
2
((x)
x 2
21E
05
7z 7z(Z,, x)
iz X)
8(X)
Tz (z,
7z(-112)
=2f(x)
(1,x) 2)
7z(-1,2)
Tz (1, x)
(n) 0(0))
T2(-1,2) 2)
[ - x(x))
Ö(x)
22 (1, 2))
# 1,
If -z= almost surely, then
0l, 1)
4
4f(x)
8(z) (1 (z) - -m2)(2) 4
0f
If g y almost surely, then ī(x)) = ju (x) + 1 (x)) Thus, we have
0l (z, f) 2z)
(1(1)))
+ a2(-1,0)
0f
(1,
7z(-1,x)
(2, X)
(MY (I) - (x))
8(x)
#z (1,
2
(2(=11,)
(M (x) -
((x)
7 x)
TZ T2(
+ x2(-1,x)
= (f(x) - (z))
7z (z,
7z(-1,xx)
Check that (1.)))
nz( 1.x))
0. By convexity of (z, f), A E argming & fx, in both
(x11.))
ax(
cases.
22Y - f(x)) | By convexity of 8(X)
Proof of Theorem 3 Let (X,
(2,xx
ln and Lemma it suffices show that the gradient of Ea(,, f) with respect ʃ is 0 f A in all cases. The gradient is given by
din f) 2E 0f
1 x2) X)
2z
Y - h(X, A,
f(X)
X =
2E
x= x
7z
(Z,
8(X)
T2(
72(-1,2)
2f)(x)
#2((1
f12(-1,z)
4 (2(),z)
(pY -I
(xx) (2,
8(z) #z (-1,) (NK)(=)
4 T2(-
BTA A, 2)|2=
= - = =z)
If 7z = π2 almost surely, then we have the unweighted difference BiK(X, A, 2)|Z = 1,X = x|| E A, Z) = -1, = x| = 0 by Equation 4 The resulting gradient is
(i,(
4f(x) (x))(x) م (x))
(x)) (A(x) - -(r)) - 4ā(x)
0f
5(x)
=4 f(x) - -(x)) -
5(z)
(A(x) - -((m)]
8(x)
It will yiel 4(f(x) - A(x)) if either À = A or ô almost surely.
14

---

If pY = = Ar = ps and Á = A almost surely, and the choice of residualization function
is h1, then we have
al, fx, 0f
[1,])
+ <z(-1,3)
Tz(1, x) 2Ā(x)
2f((z
7z(-11x)) (1,
72, 2)
(A(z)((z) - (20(2)) - 8(z))
+ 8(a) #
<Z(1,z)
-2(-1,z)
Tz(-1, 2(1-1,))((1)(1 ((xx)) A(a))
=2(f(x) A(x))
(2(1,z)
7x(-1,0)
xx(-1.z))(1)
(2(),0)
1
= -(f((x) (z))
(2(,,r)
7z(-1,x)
If /- = - - = 141
and Á = A almost surely, and the choice of residualization
function is h2g then have
Hl, (z,
0f
x1,
x2(-1,z)
=x)(x)
(1,
#z(-11xx)
4 (1,
(A(x)((x) (20(z) -20(x)) (xx))
8(x) #2)),
7x(-1,
2x(x)
7z(-1,x) x)
(L,,,
x2(-1,0)
T2(1, 8(x) 4(A(s) A(x))
2(J(x) ((x))
(2(1,
xz(-1,0)
#z x) 8(x)
(1,x,))
<z(-1,<)
= -(f(x) (()))
(1,2)))
(=(-11x)
If (AY +/Z (M +xK and (ir + 1/ (ut + #21)/2 almost surely, and the choice of residualization function is hg, then the gradient is
(2, 2x(x))
T2 (2, 2)
72(-1,2)
05
7z (1, x)
7z(-1.2)
4 Tz (1,(1,)) x)
A (x))(x))
(((=))(()))(()))))
((x) 72 (1,x)
4 Tz 11,
A(x)6(z) - -(-0(x) + ((xx)) ((r)/2
8(x) 7z 1,,
2
2 ((x)) =2(5(0) - A(x)
6(z)
(A(x) - {(x)))
Tz(1,2)
+ Tz(-1,
((x)
(1(
7z(-1,4
It will yield 2(1()) - ((+))
T2(1,x)
+ Tx(=1.²) if either = A or = c almost
#2(1.2)
surely.
15

---

B Optimal residualization (linear model example)
Consider linear model for ((x) with coefficients denoted by B.. The objective function with outcome residualized by function ((x) is defined as follows:
2(v (()))( 2TB 8(x)
Lg 2,,
(2(22 x:)
,,X, 8)]. Let Lo 2, () be the deriva- tive of Lg(y, 2, 8) with respect to B. Denote by the root of the estimating equation n Di= (Y, 3)= = O. By Bahadur representation, we have
Let (3 be the unique minimizer of Q(3) - E. (Y; 2, X,
8 - g n H Σ (Y,, + op(nn!)
where H is the second derivative of Q(3) with respect to B at 8 = 8 Therefore, selecting the optimal y equivalent to minimizing the variance (Y, 8*,
C Technical details for IV-RDL2
Unlike IV-RDLI, need additional constraints on h(z, a, 2) make sure the estimation for CATE remains consistent after the residualization.
Lemma 4, For any measurable h (X, A, 2) + R satisfying
Zh(X, A, Z)
X = x _ =0
E
(4)
x2,
or equivalently, E[h(X, A, Z) 1,X x]
E[h(X, A, Z)1Z =11 x), we have
1
(((Y - h(X, A, Z))Z -((x)
A argmin E
8(X)
f
2(Y 22Y- - f(x)) 5(X)
Proof of Lemma 4 Let (x(x = E
By Lemma 3
=2(2,X)
suffices to show argmin, (x, = argmin, f(X, f). For any h(x, a, 2) satisfying Equation we have
1
2YZ
2h(X, A, 2)Z
(xx, E
f(X)
X
Tzz (2,
8(X)
8(X)
[XX f) 2E
1
2Y
f(X))
( (2M(X,, A, Z)Z
(2)
8(X)
5(X)
1
22(X,A, A, Z)Z
X
TZ (2, X)
6(X)
8
Yh(X, A, Z)
4f(X)
Zh(X,
{XX
E
x
E
X
(8(X))2
TZ
8(X)
T2(
(h(X, A, 2))²
E
(8()))
Here the second term and the fourth term don't depend on f. and the third term is 0. Therefore, argmin, (X, argmin, f(
As shown in Lemma the minimizer is invariant of shift on outcome by a function h that satisfies Eq. 4 Similar to way of finding g". we would like to find the function à with the smallest h(X, h(X, Zz) f(X)) among all h that satisfies Eq. (4)
variance of [Tz
16

---

Theorem 4. Among all measurable h (X,A, + R satisfying Eq.
4 the following function
minimizes Var
((2,2122 [(x)) 6(X)
x2(2,X)
(0,2, = H² (x) A(x) (a- - =ō(x))
if the conditional means μ² (x) and 1 (x) is one of these three pairs: (1) p (z) and pz(;;; (2)
n (x) and (x)); (3) m² (x) a (uf (x) p (x))/ and (x))) a (nf(x) + +
Proof of Theorem 4 For any h(x, a, 2) satisfying Equation (4) the variance of the derivative of the
weighted loss La at f A is given by
2( 1(X,A, 2))
A(x)))
Var
TZ (2 X)
8(X)
1
(2(Y-
7A(X)))22 (2xxxx
E
(T (Z, x))
8(X)
A E[S(X, h,]
where
2( 1(X, A,) 2))
-A(X)) )² Z = 22
S(x, 2, h) = E
(zz(Z,
5(X)
Now we seek to minimize E[S(X, 2,h), h)]. By convexity of S(X, Z, h) and Lemma 3 it suffices to show that the gradient of S(X, Z, h) with respect h is at f = A, if one of the three equivalent forms. To this end, set the gradient of with respect to h to be O. Then for any (x, 2) E (X, 2), we have
1
2(YY - A, ZA(X))
x 00 2 Z= =2 ==
E
6(X) (Zz(Z,X))
8(X)
which leads to the following condition on the optimal h:
E E[h(X, A, =
= x] - 2A ())
(5)
Since (z) y (x) - (x), it can be verified that Equation 5 implies T[i(X, A, Z
1, = x = (x
X A, Z -
z]. which is equivalent to Equation (4) We will then
verify that the following three equivalent functions satisfy Equation 5
A A
=() +
(a (z()) ==(xz)
2
A(x)
(5(x,,,2==/11
(a (x) 20(x))
hū a)) /a (x) nr (x)
(x)
A(x)
0 (z(x)) 4 26(x))
2
2
2
To see their equivalence, notice that A(x) = 2(mx (x) - - (x))\/// (x) - 1
Then we have
2 (x) (z) H4
- (x))
(x) 11
- (n (x)
and h3 is simply the average of hi and hi. It suffices to show Af satisfies 5 We have
A,2) 1, = -| uf (x) A(r) 5(x)
El - x] uu (a) A(x)
(m4 (x) (1)))+)))))
= 5 + A(T)
5(x),
which completes the proof.
17

---

D Additional Simulations
In this section, we conducted simulations that evaluate the performance of the proposed framework against model mispecification on the nuisance variables. The data is generated by the same model as Setting 1 in Section except that (1, X) expit 2 }. Based on the true model, the conditional mean outcome is non-linear on X. However, in Setting 3, we will use its OLS estimate as a case of
misspecification. In Setting 4, we deliberately used a wrong propensity (1, x) 1/2. We keep all
the other procedures the same as Setting 1. The results are summarized in Table D We can observe
that the residualized version have superior performance, and have significant lower MSE compared to the original version.
Table 2: Simulation results: mean 10 10- IPW-MR: the multiply robust weighted learning; BART: Bayesian additive regression trees; RD; robust direct learning; CF: causal forest. The empirical maximum value is 0.967 for setting and 0.979 for setting 4.
BART
RD
IWW-MR
CF
MRIV
IV-DL
IV-RDII
IV-RDL2
MSE
136(4.3)
(3
NA
(6.6
(52)
194(1)
80 (7.0)
81.8 66.3
3
AR
63.4
(6.2(
79.5
76.9(0.8)
77.1
(0.
(4.5
82.8 (
Value
73.7
(5.5))
89.4(..8
85.6 (5.8)
85.6(o.7)
89.3(p.5)
(3
91.6
MSE
(37
86.2 (
NA
96.7 (..7
(9.5(2.4)
103
44.1 (4.1)..) (3.1)
60.
4
AR
63.5
(2.4)
(1.6
(T.a)
75.6
(4.1
83.6
78.5
Value
74.5(1.2)
(1..
87.3(0.8)
(6.3)
84.8(w.r)
83.5(u.9)
92.6
87.9
E
3D plots for the data analysis
In the data analysis, we construct 3-dimensional plot for the estimated CATE based on the three splitting variables (age of mom at census, age of mom at first birth, and income of father). The plot is presented in two rotations in Figure 4 The points in the plots color-coded by the estimated CATE with red indicating more likely to work and blue indicating more likely to not work. We can see that, overall, blue points are at the bottom of the plots, with a majority of them below $25k/year. Subgroup of young mothers with extremely low fathers' income only accounts for 3% of the data and hence is hard to see here.
Estimated CATE
120
100
Incomic of Dtd
10 BUrOR
80
-15
Aoy of Mom Froz
Age Nom
3t i 28
Age Mam
Ago of Nom
Figure 4: 3D scatter plots of three covariates colored by estimated CATE for 3000 randomly selected subjects. Both plots reflect different rotations.
18

---

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3. Theory Assumptions and Proofs
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Answer: [Yes]
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Justification:
The proof for each theoretical result can be found in Appendix.
Guidelines:
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Reviews:
[{"review_id": "RlZ9fa4MFU", "reviewer": "Reviewer_M5di", "summary": "This paper introduces a new type of CATE estimator using instrumental variables. The proposed method employs the direct learning approach.", "questions": "1. $\\Delta(x)$ in line 89 and $\\Delta(x)$ in line 94 are the same?\n\n2. What are the practical examples where Assumption 2 holds? \n\n3. Is there a reason to choose Assumption 2 other than the LATE assumption? Both assumptions yield the same target parameter (in Proposition 1).", "limitations": "1. The paper assumes discrete/binary $Z$. \n\n2. The paper is relying on Assumption 2.", "rating": 6, "confidence": 4, "soundness": 3, "presentation": 2, "contribution": 2, "strengths": "1. The paper is self-contained and comprehensible.\n2. Besides developing the CATE estimator, the paper also proposes an estimator for finding the optimal treatment regimes.", "weaknesses": "__Missing literature review__ \n\nThe paper most closely related to this work is [Machine Learning Estimation of Heterogeneous Treatment Effects with Instruments[(https://proceedings.neurips.cc/paper/2019/file/3b2acfe2e38102074656ed938abf4ac3-Paper.pdf). It develops a fast-converging CATE estimator for local average treatment effects using instrumental variables. However, this paper is not cited in the literature review. Please consider including a discussion of this paper for richer context. More importantly, please compare your work with this paper to highlight the novelty of the current work.\n\n__Weak motivation on directed learning__ \n\nThe introduction section lacks plausible reasons for proposing directed learning. What are the alternative methods and their pros and cons? Why should we specifically consider the directed learning approach?\n\n__Validity of Assumption 2__\n\nAssumption 2f is a weaker version of the following assumption: \"$U$ is noninformative to $A$ given $Z$ and $X$ (i.e., $A \\perp U \\mid X,Z$).\" Given that there are no practical settings where Assumption 2f holds while $A \\perp U \\mid X,Z$ doesn't (except some peculiar parametrization), and both assumptions are non-testable, I don't see any practical distinction between $A \\perp U \\mid X,Z$ and Assumption 2f. In other words, Assumption 2f is just another representation of $A \\perp U \\mid X,Z$ tailored for identification.\n\nCombining $A \\perp U \\mid X,Z$ with Assumption 2c ($Z \\perp U \\mid X$) results in $(U \\perp A \\cup Z \\mid X)$ by the contraction property of conditional independence. This means $U$ does not influence $(A,Z)$ given $X$. Consequently, in any related causal graph, there should be no edges from $U$ to $A$. This leads to the ignorability condition that $Y(a) \\perp A \\mid X$.\n\nIn summary, interpreting Assumption 2f as $A \\perp U \\mid X,Z$ means Assumption 2 is essentially an ignitability assumption. Therefore, it is important to discuss the validity of Assumption 2 in practical settings, to disprove that Assumption 2f is merely another representation of $A \\perp U \\mid X,Z$ designed for identification. Have you considered the LATE setting, given that the estimand in Proposition 1 will remain unchanged?\n\n__More analysis is required__\n\nMultiple robustness properties provided in Theorem 3 imply that the proposed estimator converges to the optimal estimator faster. For example, if nuisances converge at an $n^{-1/4}$ rate, where $n$ is the number of samples, then the estimator converges at an $n^{-1/2}$ rate. These results are beneficial since they guarantee fast convergence. While Theorem 3 is attractive, it is somewhat impractical because, in practice, the working model is rarely considered a true model. Please provide more analysis on the rate of convergence concerning the convergence rate of nuisance parameters.\n\n__Fair comparison with other estimators__\n\nEven if the empirical evidence in Table 1 is strong, the discussion on why the proposed estimator converges faster than other multiply-robust estimators, such as MRIV, is missing. Asymptotically, there are no reasons to believe the proposed estimator converges faster than the MRIV estimator. Can you provide a discussion on why the proposed estimator converges faster than its competitors?", "quality": null, "clarity": null, "significance": null, "originality": null, "strengths_and_weaknesses": "", "was_revised": false, "final_justification": "", "rebuttal": "We thank the reviewer for the thoughtful and constructive feedback on our paper. We have carefully considered each comment and will make revisions to address the concerns raised. Below, we provide detailed responses to the reviewer's comments, along with descriptions of the changes that will be made to the paper to improve its overall quality.\n\n## Missing literature review\nBoth the method of DRIV, as proposed by Syrgkanis et al. (2019), and that of MRIV, by Frauen and Feuerriegel (2022), share some similarities with our method. Both approaches construct the pseudo-outcome using the efficient influence function (EIF) of the Average Treatment Effect (ATE). However, MRIV incorporates the multiply robust property as detailed by Wang and Tchetgen Tchetgen (2018), whereas DRIV features a doubly robust property only. Given that our method exhibits an extended multiply robust property, we have opted for a more detailed comparison with MRIV. That being said, we will include DRIV in our literature review including a more thorough comparison.\n\n## Motivation for direct learning\nThe motivation for the direct learning approach was outlined in lines 24-29, highlighting its advantages over Q-learning. A more detailed comparison is provided in lines 88-95. Under the unconfoundedness assumption, Q-learning models the conditional mean outcomes separately and calculates the estimated Conditional Average Treatment Effect (CATE) using these estimates, denoted as $\\hat\\Delta(X)=\\hat E[Y|X, A=1]-\\hat E[Y|X, A=0]$. In contrast, the Direct Learning approach models the difference between the conditional mean outcomes directly, which can be expressed as $\\Delta(X)= E[Y|X, A=1]-E[Y|X, A=0]=E[AY/\\pi_A(A, X)|X]$. Regarding your Question 1 about the definition of $\\Delta(x)$, the two definitions in line 89 and line 94 are both transformed from the definition of CATE under the unconfoundedness assumption and are essentially the same. We will reorganize the introduction section to enhance clarity.\n\n## Assumption 2f\nWang and Tchetgen Tchetgen (2018) first showed that CATE is identified by the conditional Wald estimand (Eq.1 in Proposition 1) with a weaker assumption: either a) the effect of the unmeasured confounder on the treatment is additive or b) the effect of the unmeasured confounder on the outcome is additive. This result is adopted in many later works such as MRIV (Frauen and Feuerriegel, 2022), Causal Forest (Athey, Tibshirani, and Wager, 2019), and IPW-MR (Cui et al., 2021). The assumption used by Syrgkanis et al. (2019) is equivalent to the stronger version (b) and ours is equivalent to (a). An example of when Assumption 2f holds can be when the unmeasured confounder only has additive effects on $A$. In the context of the Local Average Treatment Effect (LATE), the formulation aligns with the identification result on CATE expressed in Equation 1 of Proposition 1. However, LATE focuses specifically on a subgroup of the population, whereas identifying the CATE provides a more comprehensive result. Furthermore, it can be verified that $\\Delta(x)$ is equivalent to LATE under the monotonicity assumption, as discussed by Imbens and Angrist (1994).\n\n## About \"rate of convergence\"\nThe findings in Theorem 3 describe six scenarios where the IV-RDL2 will provide a consistent estimate of the CATE. We have not claimed a faster convergence rate compared to other methods, and currently, we lack theoretical results on convergence rates. It's important to note that both IV-RDL1 and IV-RDL2 are heavily dependent on the accurate estimation of nuisance parameters. We recommend using IV-RDL1 as it requires fewer nuisance parameters unless specific background knowledge about the distributions of the additional nuisance parameters used in IV-RDL2 is available. Studying the rate of convergence of the estimators concerning the convergence rate of the nuisance parameter is an interesting and important future work.\n\n## Restricted to the binary case\nWe acknowledge the reviewer's observation that the current paper focuses solely on binary treatment. During our research, we discovered that extending our framework to accommodate other types of treatment is a non-trivial task. We are currently working on another project dedicated to expanding our framework to include multi-arm treatment settings. This extension is rather complicated and will be detailed in a forthcoming paper.", "claims_and_evidence": "", "methods_and_evaluation_criteria": "", "theoretical_claims": "", "experimental_designs_or_analyses": "", "relation_to_broader_scientific_literature": "", "essential_references_not_discussed": "", "other_strengths_and_weaknesses": "", "other_comments_or_suggestions": "", "questions_for_authors": "", "summary_of_paper": "", "summary_of_recommendation": "", "technical_quality": "", "clarity_of_presentation": "", "potential_impact": "", "robotics_focus": "", "quality_of_limitations": "", "questions_for_rebuttal": "", "reasons_to_accept": "", "reasons_to_reject": "", "questions_to_authors": "", "extra_scores": {}}, {"review_id": "dQJKyCdUZQ", "reviewer": "Reviewer_qaqj", "summary": "The authors study the problem of estimating the conditional average treatment effect (CATE) under the assumption of unmeasured confounding. The authors focus on the specific scenario where some observed variable acts as instrument w.r.t. unmeasured confounder but might be confounded by some other observed confounder, so that standard IV methods may fail. They derive a method which extends Direct Learning (DL) by an additional scaling factor of the outcomes. This scaling factor is the CATE of the instrument on the treatment, which can be estimated with standard methods (e.g., DL). In a simulation study, the authors compare the proposed method to a set of baseline methods.", "questions": "The paper is clear; no questions but some minor comment:\n- The term instrumental variable for Z might be a bit confusing as Z and Y are confounded; Z is an IV w.r.t. unmeasured confounder. It may help to clarify that in the very beginning.\n- Figure 1 might be improved in terms of order and size of the nodes; having the instrument on the right, the treatment at the top, and the outcome on the left is rather unconventional.\n- lines 151-164 have likely little value as this should be known to the Neurips audience", "limitations": "NeurIPS Paper Checklist is provided; no concerns.", "rating": 7, "confidence": 4, "soundness": 3, "presentation": 3, "contribution": 3, "strengths": "The problem and method are well-presented. The resulting method is simple but elegant. It extends Direct Learning by, first estimating the CATE of the instrument on the treatment, and estimates the CATE of the treatment on the outcome through Direct Learning leveraging the result of the first step.\n\nThe authors prove identifiability under a provided set of assumptions. They propose two ways to residualize the outcomes in order to reduce the variance of the estimator, and provide a set of sufficient conditions (in terms of correctly specified nuisance functions) under which the estimator yields consist CATE estimates.", "weaknesses": "Assumption 2.f seems rather strong as the unobserved confounder can only additively affect the treatment. The data generating process in the experimental section violates this assumption. As the proposed method still outperforms the baselines, this may suggest that the method is less sensitive to the assumption. Though, that should be studied empirically in more detail.\n\nCompared to other recent publications focusing on estimating the (conditional) treatment effect, the assumed data generating process in the simulation seems overly simple. Other methods involving GPs, normalizing flows, and other highly non-linear models allow for high-dimensional confounders. They are typically assessed using semi-artificial data (e.g., with images as confounders and image labels as confounding mechanism). Without such hard problems and the corresponding baseline methods, it is hard to assess the overall practical value of the proposed method.", "quality": null, "clarity": null, "significance": null, "originality": null, "strengths_and_weaknesses": "", "was_revised": false, "final_justification": "", "rebuttal": "We thank the reviewer for the thoughtful and constructive feedback on our paper. We have carefully considered each comment and will make revisions to address the concerns raised. Below, we provide detailed responses to the reviewer's comments, along with descriptions of the changes that will be made to the paper to improve its overall quality.\n\n## Assumption 2f\nThank you for pointing this out. There is a weaker version of the assumption regarding the additive effect of unobserved confounders: either a) the effect of the unmeasured confounder on the treatment is additive, or b) the effect of the unmeasured confounder on the outcome is additive. The identification result holds if either condition a) or b) is satisfied (with assumption 2f being equivalent to b). Essentially, for identification, we need the following equation to hold:\n\\begin{equation}\n    E_U\\Big[E[Y(1)-Y(-1)\\vert X, U]\\big(E[A\\vert Z=1,X, U]-E[A\\vert Z=-1,X, U]\\big)\\Big]\n    =E[Y(1)-Y(-1)\\vert X]\\big(E[A\\vert Z=1,X]-E[A\\vert Z=-1,X]\\big)\n\\end{equation}\nA sufficient condition for this would be to assume that at least one of these differences does not depend on $U$. In the weaker assumption, case a) implies $E[A\\vert Z=1,X, U]-E[A\\vert Z=-1,X, U]=E[A\\vert Z=1,X]-E[A\\vert Z=-1,X]$, and case b) implies $E[Y(1)-Y(-1)\\vert X, U]=E[Y(1)-Y(-1)\\vert X]$. If either case is true, the above equation holds. As for the simulation study, the effect of $U$ on outcomes is additive, which corresponds to case b) in the weaker assumption. We will modify the current assumption 2f to the weaker version, including the case of either a) or b) above.\n\n## High-dimensional confounder\nThe proposed framework is compatible with a wide range of state-of-the-art machine learning methods, as it ultimately involves a weighted regression problem with the modified outcome serving as the response variable. For high-dimensional data, the implementation of more complex learning algorithms under the general framework of our method is feasible.\n\n## Comments in the Question section\nWe appreciate your suggestion and will incorporate a summary of the relationships among $Z$, $Y$, and the unmeasured confounder at the beginning of Section 2. We will also construct a new Figure 1 and shorten the paragraphs in lines 151-164.", "claims_and_evidence": "", "methods_and_evaluation_criteria": "", "theoretical_claims": "", "experimental_designs_or_analyses": "", "relation_to_broader_scientific_literature": "", "essential_references_not_discussed": "", "other_strengths_and_weaknesses": "", "other_comments_or_suggestions": "", "questions_for_authors": "", "summary_of_paper": "", "summary_of_recommendation": "", "technical_quality": "", "clarity_of_presentation": "", "potential_impact": "", "robotics_focus": "", "quality_of_limitations": "", "questions_for_rebuttal": "", "reasons_to_accept": "", "reasons_to_reject": "", "questions_to_authors": "", "extra_scores": {}}, {"review_id": "vOudFMdSha", "reviewer": "Reviewer_M1zT", "summary": "The author mainly introduces a method of Directly Learning using Instrumental Variables (IV-DL) to estimate the conditional average treatment effect (CATE) $\\Delta(x)$ and optimal Individualized Treatment Regime (ITR) $\\hat{d(x)}$ in the presence of unobserved confounding. They propose two efficient and robust estimators, IV-RDL1 and IV-RDL2, by residualizing the outcome. The authors conduct two simulation settings and use real-world data to demonstrate the efficiency of the approach.", "questions": "1. In section 6, why is the performance of IV-RDL1 than IV-RDL2 in three metrics?\n\n2. The authors should conduct some experiments to show whether IV-RDL1 and IV-RDL-2 are robust compared to other methods in the presence of misestimation.\n\n3. The authors miswrite “$f(x)=\\tilde{x}^{T}\\mathbf{\\beta}$” as “$\\Delta(x)=\\tilde{x}^{T}\\mathbf{\\beta}$” in line 152.", "limitations": "The authors discuss some of the algorithm's shortcomings.", "rating": 5, "confidence": 2, "soundness": 2, "presentation": 3, "contribution": 3, "strengths": "This paper primarily focuses on estimating conditional average treatment effects and determining the optimal individualized treatment regime using the Direct Learning with Instrumental Variable Approach. It presents a well-structured logical framework to discuss this concept.", "weaknesses": "I think overall the authors did interesting research, but my main concerns are listed below.\n\nThe variables A, Y, and Z in this paper are all binary variables. It would be beneficial to discuss how the framework of IV-DL can be extended or adapted to handle a continuous instrumental variable 𝑍. The current focus on binary variables may limit the generalizability of the findings.\n\nIn Section 5, the authors do not provide a detailed introduction to work similar to IV-RDL2. A more thorough explanation of the differences and connections between this work and related research would enhance the reader's understanding of the unique contributions and context of the presented study.", "quality": null, "clarity": null, "significance": null, "originality": null, "strengths_and_weaknesses": "", "was_revised": false, "final_justification": "", "rebuttal": "We thank the reviewer for the thoughtful and constructive feedback on our paper. We have carefully considered each comment and will make revisions to address the concerns raised. Below, we provide detailed responses to the reviewer's comments, along with descriptions of the changes that will be made to the paper to improve its overall quality.\n\n## Restricted to the binary case\nWe acknowledge the reviewer's observation that the current paper focuses solely on binary treatment. During our research, we discovered that extending our framework to accommodate other types of treatment is a non-trivial task. We are currently working on another project dedicated to expanding our framework to include multi-arm treatment settings. This extension is rather complicated and will be detailed in a forthcoming paper.\n\n## Details on IV-RDL2\nDue to space constraints, we have omitted most of the details on IV-RDL2 from the main text. The remaining comparison with related work can be found in lines 257-264, specifically with MRIV by Frauen and Feuerriegel (2022). We will provide a detailed introduction and comprehensive comparison in the appendix.\n\n## Question Section\n1. IV-RDL2 is not necessarily superior to IV-RDL1. Both residualized versions are sensitive to the accuracy of their nuisance parameter estimates. Since IV-RDL2 requires more nuisance parameters than IV-RDL1, it is likely to introduce more variance into the CATE estimate. The utility of these residualized versions would be greatly enhanced if we possessed domain knowledge about the baseline conditional means.\n2. Our submission did include two additional settings in Appendix D that demonstrate the robustness properties of the residualized estimators. In these examples, we intentionally employed incorrect estimates or models for the nuisance parameters. Despite this, both IV-RDL1 and IV-RDL2 exhibited superior performance compared to other methods.\n3. We will revise this paragraph to enhance its clarity.", "claims_and_evidence": "", "methods_and_evaluation_criteria": "", "theoretical_claims": "", "experimental_designs_or_analyses": "", "relation_to_broader_scientific_literature": "", "essential_references_not_discussed": "", "other_strengths_and_weaknesses": "", "other_comments_or_suggestions": "", "questions_for_authors": "", "summary_of_paper": "", "summary_of_recommendation": "", "technical_quality": "", "clarity_of_presentation": "", "potential_impact": "", "robotics_focus": "", "quality_of_limitations": "", "questions_for_rebuttal": "", "reasons_to_accept": "", "reasons_to_reject": "", "questions_to_authors": "", "extra_scores": {}}, {"review_id": "20RHpntrno", "reviewer": "Reviewer_iUwm", "summary": "In this paper, the authors proposed a general framework for estimating CATE with a possible unmeasured confounder using instrumental variables. They construct estimators that exhibit efficiency and robustness against various scenarios of model misspecification. The efficacy of the proposed framework is demonstrated through simulation studies and a real data example.", "questions": "The authors might consider scenarios where one might be interested in heterogeneous treatment effect on $X'$, where $X'$ is a subset of $X$.", "limitations": "Please refer to Questions.", "rating": 4, "confidence": 5, "soundness": 2, "presentation": 2, "contribution": 2, "strengths": "Strengths: The robustness and efficacy of the proposed method are shown in theory and simulations.", "weaknesses": "Please refer to Questions.", "quality": null, "clarity": null, "significance": null, "originality": null, "strengths_and_weaknesses": "", "was_revised": false, "final_justification": "", "rebuttal": "We appreciate your feedback and the time you have taken to review our paper. However, we are unsure about the question being raised in this comment. Our goal is to estimate the conditional average treatment effect of $A$ on $Y$ given $X$. We are unsure what you meant by heterogeneous treatment effect \"on a subset of $X$\". In this paper, we do not consider the treatment effect on \"$X$\". If you meant treatment effect of $A$ on $Y$ given a subset of $X$, we note that the incorporation of a variable selection method under our framework is very straightforward given that the final step of our method is a weighted least square regression problem. If you meant the treatment effect on a subset of $Y$, not of $X$, we note that, currently, we consider $Y$ to be univariate.", "claims_and_evidence": "", "methods_and_evaluation_criteria": "", "theoretical_claims": "", "experimental_designs_or_analyses": "", "relation_to_broader_scientific_literature": "", "essential_references_not_discussed": "", "other_strengths_and_weaknesses": "", "other_comments_or_suggestions": "", "questions_for_authors": "", "summary_of_paper": "", "summary_of_recommendation": "", "technical_quality": "", "clarity_of_presentation": "", "potential_impact": "", "robotics_focus": "", "quality_of_limitations": "", "questions_for_rebuttal": "", "reasons_to_accept": "", "reasons_to_reject": "", "questions_to_authors": "", "extra_scores": {}}]

Author rebuttal:
We would like to extend our sincere gratitude for the thorough and constructive feedback on our paper. We have carefully considered all comments and will make revisions to address the concerns raised. Below, we provide a summarized response to the main comments, along with descriptions of the changes that will be made to the paper.

**Literature Review:**
We will include a more thorough comparison with DRIV, in addition to the detailed comparison with MRIV, to enhance the literature review section.

**Motivation for Direct Learning:**
The introduction will be reorganized to better highlight the advantages of direct learning over Q-learning, providing additional details to clearly distinguish the two approaches.

**Assumption 2f:**
We clarified Assumption 2f and provided examples to illustrate when it holds, aligning it with previous works by Wang and Tchetgen Tchetgen (2018). The weaker version of Assumption 2f will be included to provide additional clarity on the additive effects of unobserved confounders.


**High-Dimensional Confounder:**
Our framework is compatible with a wide range of machine learning methods, making it feasible for high-dimensional data and variable selection. This point will be emphasized to highlight the flexibility of our approach.

**Details on IV-RDL2:**
Due to space constraints, detailed information on IV-RDL2 was omitted from the main text. We will include a more detailed introduction and comprehensive comparison in the appendix to provide a clearer understanding of IV-RDL2 and its relation to related work.

**Superiority of IV-RDL2:** We clarified that IV-RDL2 is not necessarily superior to IV-RDL1, and both methods are sensitive to the accuracy of nuisance parameter estimates.

**Restricted to Binary Case:**
We acknowledge the current focus on binary treatment. We are actively working on expanding our framework to include multi-arm treatment settings. The extension is complicated and will be detailed in a forthcoming paper.

We hope these revisions address the concerns effectively and believe these changes will strengthen the paper while clarifying points of ambiguity. Thank you once again for your valuable feedback.

Meta-review: This paper proposes a new CATE estimator (variants) in the instrumental variable setting using direct learning, under the setting when the instrument may be confounded by an observed variable. The paper provides identification conditions, a multiply robust estimator and conduct empirical evaluation on synthetic simulations and real world data. Theoretical results provide standard convergence guarantees of the doubly/multiply-robust estimator.

Overall all reviewers found the paper clear, comprehensible. Deriving optimal treatment regimes in addition to CATE was considered a strength. 

Multiple reviewers raised some concerns about Assumption 2f, particularly in the context of existing literature of Wang and Tchetgen Tchetgen (2018) (as well as its justification of additive effect of unobserved confounders on treatment --- or outcome as was clarified). Impact of high-dimensional confounding was raised, and addressed to some extent (doubly robust estimators still have empirical limits in practice, but this is sufficiently addressed for the paper for now). 

Overall I have ignored the uninformative review from iUwm and recommended accept in this case.
Decision: Accept (poster)