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Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
cemmap working paper No. CWP34/14
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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 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.
Schlagwörter: 
Treatment Effects
Instrumental Variable
Specification Test
Bootstrap
JEL: 
C12
C15
C21
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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