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A Test for Instrument Validity

Kitagawa, T; (2015) A Test for Instrument Validity. Econometrica , 83 (5) pp. 2043-2063. 10.3982/ECTA11974. Green open access

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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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