centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

A Test for Instrument Validity

Authors: Toru Kitagawa
Date: 19 August 2014
Type: cemmap Working Paper, CWP34/14
DOI: 10.1920/wp.cem.2014.3414

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 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.

Download full version
Now published:
Toru Kitagawa September 2015, A Test for Instrument Validity, Journal Article, Wiley
Previous version:
Toru Kitagawa October 2013, A bootstrap test for instrument validity in heterogeneous treatment effect models, cemmap Working Paper, CWP53/13, Institute for Fiscal Studies

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us