Anchor regression: heterogeneous data meets causality

TL;DR

Anchor regression is a novel method that enhances predictive robustness across distributional shifts by interpolating between least squares and instrumental variable approaches, leveraging exogenous variables to address heterogeneity and causal inference challenges.

Contribution

It introduces anchor regression, a new technique that combines least squares and two-stage least squares to improve predictive stability under distributional shifts, even with violated instrumental variable assumptions.

Findings

Anchor regression provides distributional robustness guarantees.

It interpolates between OLS and 2SLS solutions.

Empirically improves replicability under shifts.

Abstract

We consider the problem of predicting a response variable from a set of covariates on a data set that differs in distribution from the training data. Causal parameters are optimal in terms of predictive accuracy if in the new distribution either many variables are affected by interventions or only some variables are affected, but the perturbations are strong. If the training and test distributions differ by a shift, causal parameters might be too conservative to perform well on the above task. This motivates anchor regression, a method that makes use of exogeneous variables to solve a relaxation of the causal minimax problem by considering a modification of the least-squares loss. The procedure naturally provides an interpolation between the solutions of ordinary least squares and two-stage least squares. We prove that the estimator satisfies predictive guarantees in terms of distributional robustness against shifts in a linear class; these guarantees are valid even if the instrumental variables assumptions are violated. If anchor regression and least squares provide the same answer (anchor stability), we establish that OLS parameters are invariant under certain distributional changes. Anchor regression is shown empirically to improve replicability and protect against distributional shifts.