This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given by nonnegativity of point-identifiable complier's outcome densities. Our specification test infers this testable implication using a Kolmogorov-Smirnov type test statistic. We provide a bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to both discrete and continuous outcome cases.
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
Working Paper details
- DOI
- 10.1920/wp.cem.2013.5313
- Publisher
- Institute for Fiscal Studies
Suggested citation
Kitagawa, T. (2013). A bootstrap test for instrument validity in heterogeneous treatment effect models. London: Institute for Fiscal Studies. Available at: https://ifs.org.uk/publications/bootstrap-test-instrument-validity-heterogeneous-treatment-effect-models (accessed: 16 May 2024).
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