A test for instrument validity

• Autores: Toru Kitagawa
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 83, Nº 5, 2015, págs. 2043-2063
• Idioma: inglés
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• Resumen

  • This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable compliers' outcome densities. Our specification test infers this testable implication using a variance-weighted Kolmogorov–Smirnov test statistic. The test can be applied to both discrete and continuous outcome cases, and an extension of the test to settings with conditioning covariates is provided