Testing Instrument Validity with Covariates

• Tác giả: Thomas Carr, Toru Kitagawa
• Ngôn ngữ: eng
• Ký hiệu phân loại: 681.2 Testing, measuring, sensing instruments
• Thông tin xuất bản: 2021
• Bộ sưu tập: Báo, Tạp chí
• ID: 168395

Tóm tắt

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.