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arXiv · 2607.17478

Identification and Inference with Machine-Learned Instruments

Abstract

Instrumental-variables estimation increasingly pools many or high-dimensional instruments into a single machine-learned first stage, with rich controls partialled out. The resulting estimand, the partialled-out IV coefficient built from any signal of the instruments, is a signal-weighted average of the heterogeneous effects, which gives an opaque first stage a precise structural meaning. The average is convex whenever a covariance-monotonicity condition holds, and we provide a microfoundation for that condition based on vector monotonicity. With a learned signal, however, the usual debiased moment is not Neyman-orthogonal, and its first-order bias is a drift toward the learner's own signal-weighted average, so naive inference remains valid only for that learner-dependent target. We construct a heterogeneity-robust orthogonal score that restores $\sqrt{N}$ inference on the fixed, learner-invariant target at no efficiency cost, and provide a Hausman-type diagnostic and identification-robust confidence sets.

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BibTeXRIS

Fangzhou Yu. 2026-07-20. Identification and Inference with Machine-Learned Instruments. https://arxiv.org/abs/2607.17478

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