Double Machine Learning of Continuous Treatment Effects with General Instrumental Variables

Abstract

Estimating causal effects of continuous treatments is a common problem in practice, for example, in studying average dose-response functions. Classical analyses typically assume that all confounders are fully observed, whereas in real-world applications, unmeasured confounding often persists. In this article, we propose a novel framework for the identification of average dose-response functions using instrumental variables, thereby mitigating bias induced by unobserved confounders. We introduce the concept of a uniform regular weighting function and consider covering the treatment space with a finite collection of open sets. On each of these sets, such a weighting function exists, allowing us to identify the average dose-response function locally within the corresponding region. For estimation, we propose an augmented inverse probability weighted score for continuous treatments with instrumental variables under a debiased machine learning framework, and provide practical guidance to adaptively establish regular weighting functions from the data. We further establish the asymptotic properties when the average dose-response function is estimated via kernel regression or empirical risk minimization. Finally, we conduct both simulation and empirical studies to assess the finite-sample performance of the proposed methods.