A Test for Instrument Validity
针对二元处理和离散工具变量的异质性处理效应模型，提出一种基于方差加权K-S统计量的工具变量有效性检验方法，无需平滑参数，适用于离散或连续结果及含协变量的情形。
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 parame- ters, even though the testable implications involve non-parametric densities. The test can be applied to both discrete and continuous outcome cases, and an extension of the test to settings with conditioning covariates is provided.