A Test for Instrument Validity

  title={A Test for Instrument Validity},
  author={Toru Kitagawa},
  • T. Kitagawa
  • Published 1 September 2015
  • Mathematics
  • Econometrica
This paper develops a speci…cation test for instrument validity in the heteroge- neous treatment eect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for non- negativity of point-identi…able complier's outcome densities. Our speci…cation test infers this testable implication using a variance-weighted Kolmogorov-Smirnov test statistic. Implementation of the proposed test does not require smoothing… 

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