Leonard Goff, Désiré Kédagni, Huan Wu
arXiv 15 Oct 2024 · Econometrics
arXiv:2410.12098 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we propose a simple method for testing identifying assumptions in parametric separable models, namely treatment exogeneity, instrument validity, and/or homoskedasticity. We show that the testable implications can be written in the intersection bounds framework, which is easy to implement using the inference method proposed in Chernozhukov, Lee, and Rosen (2013), and the Stata package of Chernozhukov et al. (2015). Monte Carlo simulations confirm that our test is consistent and controls size. We use our proposed method to test the validity of some commonly used instrumental variables, such as the average price in other markets in Nevo and Rosen (2012), the Bartik instrument in Card (2009), and the test rejects both instrumental variable models. When the identifying assumptions are rejected, we discuss solutions that allow researchers to identify some causal parameters of interest after relaxing functional form assumptions. We show that the IV model is nontestable if no functional form assumption is made on the outcome equation, when there exists a one-to-one mapping between the continuous treatment variable, the instrument, and the first-stage unobserved heterogeneity.
appendix boundary found by appendix_command · 66% of the source is main text. Read the extracted text to check this.
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 | Card, David (2009) Immigration and inequality | 1.000 | 16 | 4 | 100% |
| 2 | Nevo, Aviv and Adam M Rosen (2012) Identification with imperfect instruments | 1.000 | 11 | 5 | 100% |
| 3 | Chernozhukov, Victor, Wooyoung Kim, Sokbae Lee, and Adam M Rosen (2015) Implementing intersection bounds in Stata | 0.928 | 4 | 4 | 100% |
| 4 | Chernozhukov, Victor, Sokbae Lee, and Adam M Rosen (2013) Intersection bounds: Estimation and inference | 0.909 | 12 | 7 | 75% |
| 5 | Conley, Timothy G., Christian B. Hansen, and Peter E. Rossi (2012) Plausibly Exogenous | 0.644 | 2 | 2 | 100% |
| 6 | Huber, Martin and Giovanni Mellace (2015) Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints | 0.644 | 2 | 2 | 100% |
| 7 | Masten, M. A. and A. Poirier (2021) Salvaging Falsified Instrumental Variable Models | 0.644 | 2 | 2 | 100% |
| 8 | Gunsilius, Florian F (2021) Nontestability of instrument validity under continuous treatments | 0.644 | 2 | 2 | 100% |
| 9 | Horowitz, Joel L and Vladimir G Spokoiny (2001) An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative | 0.644 | 2 | 2 | 100% |
| 10 | Imbens, Guido W and Whitney K Newey (2009) Identification and estimation of triangular simultaneous equations models without additivity | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 34 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Testing identifying assumptions in Tobit models | 0.585 | 3 | 1 |
| 2 | Unobserved Heterogeneous Spillover Effects in Instrumental Variable Models | 0.511 | 2 | 2 |
| 3 | Identifying causal effects with subjective ordinal outcomes | 0.000 | 3 | 2 |
| 4 | Identification of Causal Effects with a Bunching Design | 0.000 | 2 | 1 |