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cwp341414.pdf
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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 non-negativity of point- identifiable complier’s outcome densities. Our specification test infers this testable implication using a variance-weighted Kolmogorov-Smirnov test statistic. Implementation of the proposed test does not require smoothing parameters, even though the testable implications involve non-parametric densities. 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
![Toru Kitagawa](/sites/default/files/styles/square_desktop/public/2022-05/Toru_Kitagawa.jpg?itok=3kinno1S)
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.2014.3414
- Publisher
- IFS
Suggested citation
Kitagawa, T. (2014). A Test for Instrument Validity. London: IFS. Available at: https://ifs.org.uk/publications/test-instrument-validity (accessed: 1 July 2024).
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