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A bootstrap test for instrument validity in heterogeneous treatment effect models

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  • Toru Kitagawa

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.

Suggested Citation

  • Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers 53/13, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:53/13
    DOI: 10.1920/wp.cem.2013.5313
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    References listed on IDEAS

    as
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