ON THE TESTABILITY OF IDENTIFICATION IN SOME NONPARAMETRIC MODELS WITH ENDOGENEITY

• 成果类型: Article
• 署名作者: Canay, Ivan A.; Santos, Andres; Shaikh, Azeem M.
• 署名单位: Northwestern University; University of California System; University of California San Diego; University of Chicago
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10851
• 发表日期: 2013
• 页码: 2535-2559
• 关键词: instrumental variable estimation; inference; parameters; rank; sets; completeness; invariant; validity; density; regions

摘要

This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem we study concerns testing necessary conditions for identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically referred to as completeness conditions. The second and third hypothesis testing problems we examine concern testing for identification directly in some nonparametric models with endogeneity involving quantile independence restrictions. For each of these hypothesis testing problems, we provide conditions under which any test will have power no greater than size against any alternative. In this sense, we conclude that no nontrivial tests for these hypothesis testing problems exist.