arXiv
Open Access
2021
Testing Instrument Validity with Covariates
Thomas Carr
Toru Kitagawa
Abstrak
We develop a novel test of the instrumental variable identifying assumptions for heterogeneous treatment effect models with conditioning covariates. We assume semiparametric dependence between potential outcomes and conditioning covariates. This allows us to obtain testable equality and inequality restrictions among the subdensities of estimable partial residuals. We propose jointly testing these restrictions. To improve power, we introduce distillation, where a trimmed sample is used to test the inequality restrictions. In Monte Carlo exercises we find gains in finite sample power from testing restrictions jointly and distillation. We apply our test procedure to three instruments and reject the null for one.
Topik & Kata Kunci
Penulis (2)
T
Thomas Carr
T
Toru Kitagawa
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2021
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- en
- Sumber Database
- arXiv
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- Open Access ✓