A Test for Instrument Validity

2015/01/01 by Toru Kitagawa · 1 voice · 4 citations
Mathematics · #Advanced Causal Inference Techniques #Statistical Methods and Bayesian Inference #Statistical Methods and Inference

paper · doi:10.3982/ecta11974

openalex publication_date 2015/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/19

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.

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Discussions

• We show a nice test for average monotonicity using UJIVE, similar to the original Kitagawa test, but valid under many instruments and controls. doi.org/10.3982/ECTA... [bsky, 1 points, 1 comments]

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