Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97387
Authors: 
Kitagawa, Toru
Year of Publication: 
2013
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP53/13
Abstract: 
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.
Subjects: 
Treatment Effects
Instrumental Variable
Speci&#x0085
cation Test
Bootstrap
JEL: 
C12
C15
C21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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