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.
Authors
Research Associate University College London and Brown University
Toru is a Research Associate of the IFS, a Professor of Economics at UCL and an Associate Professor in the Department of Economics at Brown University
Journal article details
- DOI
- 10.3982/ECTA11974
- Publisher
- Wiley
- Issue
- Volume 83, Issue 5, September 2015
Suggested citation
Kitagawa, T. (2015). 'A Test for Instrument Validity' 83(5/2015)
More from IFS
Understand this issue
What are the challenges in getting debt on a falling path?
28 June 2024
Election Special: Your questions answered
27 June 2024
What is the two-child limit in benefits?
27 June 2024
Policy analysis
How would the parties’ tax and spending plans affect Scotland and Wales?
28 June 2024
Free breakfast clubs in schools: what Labour’s plans would mean for pupils and families
25 June 2024
General Election 2024: Manifesto Analysis Presentations
24 June 2024
Academic research
Fiscal Studies: Volume 45, Issue 2
28 June 2024
Income inequality in Ireland, 1987–2019
28 June 2024
Inequality in Denmark, 1987–2021
28 June 2024