Kitagawa, T;
(2015)
A Test for Instrument Validity.
Econometrica
, 83
(5)
pp. 2043-2063.
10.3982/ECTA11974.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | A Test for Instrument Validity |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.3982/ECTA11974 |
| Publisher version: | http://dx.doi.org/10.3982/ECTA11974 |
| Language: | English |
| Additional information: | The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or for other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact the Editorial Office of the Econometric Society ateconometrica@econometricsociety.org. |
| Keywords: | Treatment effects, instrumental variable, specification test, bootstrap |
| UCL classification: | UCL 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/1492750 |
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