A Bootstrap Test for Instrument Validity in Heterogeneous Treatment Effect Models
2014/01/08
研討會日期 : 2014-01-08
時間 : 14:30
主講人 : Professor Toru Kitagawa
地點 : Conference Room B110
演講者簡介 : Professor Kitagawa received his Ph.D. in Economics from Brown University in 2009. He is currently an Assistant Professor at Department of Economics, University College London. His research fields are Econometric Theory, Causal Inference, Bayesian Econometrics, and Applied Econometrics.
演講摘要 : 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.
