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Differentially Private Two-Stage Gradient Descent for Instrumental Variable Regression

Author

Listed:
  • Haodong Liang
  • Yanhao Jin
  • Krishnakumar Balasubramanian
  • Lifeng Lai

Abstract

We study instrumental variable regression (IVaR) under differential privacy constraints. Classical IVaR methods (like two-stage least squares regression) rely on solving moment equations that directly use sensitive covariates and instruments, creating significant risks of privacy leakage and posing challenges in designing algorithms that are both statistically efficient and differentially private. We propose a noisy two-state gradient descent algorithm that ensures $\rho$-zero-concentrated differential privacy by injecting carefully calibrated noise into the gradient updates. Our analysis establishes finite-sample convergence rates for the proposed method, showing that the algorithm achieves consistency while preserving privacy. In particular, we derive precise bounds quantifying the trade-off among privacy parameters, sample size, and iteration-complexity. To the best of our knowledge, this is the first work to provide both privacy guarantees and provable convergence rates for instrumental variable regression in linear models. We further validate our theoretical findings with experiments on both synthetic and real datasets, demonstrating that our method offers practical accuracy-privacy trade-offs.

Suggested Citation

  • Haodong Liang & Yanhao Jin & Krishnakumar Balasubramanian & Lifeng Lai, 2025. "Differentially Private Two-Stage Gradient Descent for Instrumental Variable Regression," Papers 2509.22794, arXiv.org.
  • Handle: RePEc:arx:papers:2509.22794
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    References listed on IDEAS

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    1. Joshua D. Angrist & Alan B. Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 69-85, Fall.
    2. Jerry Hausman, 2001. "Mismeasured Variables in Econometric Analysis: Problems from the Right and Problems from the Left," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 57-67, Fall.
    3. Joshua D. Angrist & Jörn-Steffen Pischke, 2009. "Mostly Harmless Econometrics: An Empiricist's Companion," Economics Books, Princeton University Press, edition 1, number 8769.
    4. Ryan Cumings-Menon, 2022. "Differentially Private Estimation via Statistical Depth," Papers 2207.12602, arXiv.org.
    5. repec:fth:prinin:455 is not listed on IDEAS
    6. Joshua Angrist & Alan Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Working Papers 834, Princeton University, Department of Economics, Industrial Relations Section..
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