Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/111380
Authors: 
Kitagawa, Toru
Year of Publication: 
2014
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP34/14
Abstract: 
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.
Subjects: 
Treatment Effects
Instrumental Variable
Specification Test
Bootstrap
JEL: 
C12
C15
C21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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