Econometrica Vol. 83 No. 5 2015
A Test for Instrument Validity
open access
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 compliers' outcome densities. Our specification test infers this testable implication using a variance‐weighted Kolmogorov–Smirnov test statistic. 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.
- DOI
- 10.3982/ecta11974
- Volume
- 83
- Issue
- 5
- Pages
- 2043-2063
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref