Kitagawa, T;
(2013)
A bootstrap test for instrument validity in heterogeneous treatment effect models.
(cemmap Working Paper
53/13).
Centre for microdata methods and practice (cemmap): London, UK.
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Abstract
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given by nonnegativity of point-identifiable complier’s outcome densities. Our specification test infers this testable implication using a Kolmogorov-Smirnov type test statistic. We provide a bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to both discrete and continuous outcome cases.
| Type: | Working / discussion paper |
|---|---|
| Title: | A bootstrap test for instrument validity in heterogeneous treatment effect models |
| DOI: | 10.1920/wp.cem.2013.5313 |
| Publisher version: | https://www.cemmap.ac.uk/publication/a-bootstrap-t... |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10128117 |
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