arXiv 4 Sep 2020 · Econometrics · publishedJournal of Econometrics (2023) · 13 citations (OpenAlex)
arXiv:2009.01995 · PDF · DOI · OpenAlex · Extracted main text
This paper provides a general framework for testing instrument validity in heterogeneous causal effect models. The generalization includes the cases where the treatment can be multivalued ordered or unordered. Based on a series of testable implications, we propose a nonparametric test which is proved to be asymptotically size controlled and consistent. Compared to the tests in the literature, our test can be applied in more general settings and may achieve power improvement. Refutation of instrument validity by the test helps detect invalid instruments that may yield implausible results on causal effects. Evidence that the test performs well on finite samples is provided via simulations. We revisit the empirical study on return to schooling to demonstrate application of the proposed test in practice. An extended continuous mapping theorem and an extended delta method, which may be of independent interest, are provided to establish the asymptotic distribution of the test statistic under null.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mourifié, I. and Wan, Y (2017) Testing local average treatment effect assumptions | 1.000 | 6 | 3 | 100% |
| 2 | Chernozhukov, V., Lee, S., and Rosen, A. M (2013) Intersection bounds: Estimation and inference | 1.000 | 5 | 3 | 100% |
| 3 | Kitagawa, T (2015) A test for instrument validity | 0.883 | 64 | 7 | 69% |
| 4 | Heckman, J. J. and Pinto, R (2018) Unordered monotonicity | 0.874 | 6 | 2 | 100% |
| 5 | Angrist, J. D. and Imbens, G. W (1995) Two-stage least squares estimation of average causal effects in models with variable treatment intensity | 0.874 | 5 | 2 | 100% |
| 6 | Fang, Z. and Santos, A (2019) Inference on directionally differentiable functions | 0.858 | 19 | 3 | 63% |
| 7 | Card, D (1993) Using geographic variation in college proximity to estimate the return to schooling | 0.843 | 5 | 3 | 60% |
| 8 | Sun, Z. and Beare, B. K (2021) Improved nonparametric bootstrap tests of Lorenz dominance self | 0.811 | 4 | 2 | 100% |
| 9 | Andrews, D. W. and Shi, X (2013) Inference based on conditional moment inequalities | 0.737 | 3 | 2 | 100% |
| 10 | Kédagni, D. and Mourifié, I (2020) Generalized instrumental inequalities: Testing the instrumental variable independence assumption | 0.693 | 14 | 1 | 100% |
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