A bootstrap test for instrument validity in heterogeneous treatment effect models

Toru Kitagawa

No 53/13, CeMMAP working papers from Institute for Fiscal Studies

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.

Date: 2013-10-15
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:53/13

DOI: 10.1920/wp.cem.2013.5313

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