A Test for Instrument Validity

• 成果类型: Article
• 署名作者: Kitagawa, Toru
• 署名单位: University of London; University College London
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11974
• 发表日期: 2015
• 页码: 2043-2063
• 关键词: CONDITIONAL MOMENT INEQUALITIES; stochastic-dominance; variables; models; inference; identification; selection; earnings

摘要

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.