The variational method of moments

Abstract

Abstract The conditional moment problem is a powerful formulation for describing structural causal parameters in terms of observables, a prominent example being instrumental variable regression. We introduce a very general class of estimators called the variational method of moments (VMM), motivated by a variational minimax reformulation of optimally weighted generalized method of moments for finite sets of moments. VMM controls infinitely for many moments characterized by flexible function classes such as neural nets and kernel methods, while provably maintaining statistical efficiency unlike existing related minimax estimators. We also develop inference algorithms and demonstrate the empirical strengths of VMM estimation and inference in experiments.