Generalized instrumental inequalities: testing the instrumental variable independence assumption

被引:19
|
作者
Kedagni, Desire [1 ]
Mourifie, Ismael [2 ]
机构
[1] Iowa State Univ, Dept Econ, 518 Farm House Lane,260 Heady Hall, Ames, IA 50011 USA
[2] Univ Toronto, Dept Econ, 150 St George St, Toronto, ON M5S 3G7, Canada
关键词
Independence assumption; Instrumental variable; Intersection bound; Sharp inequality; INTERSECTION BOUNDS;
D O I
10.1093/biomet/asaa003
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
This paper proposes a new set of testable implications for the instrumental variable independence assumption for discrete treatment, but unrestricted outcome and instruments: generalized instrumental inequalities. When outcome and treatment are both binary, but instruments are unrestricted, we show that the generalized instrumental inequalities are necessary and sufficient to detect all observable violations of the instrumental variable independence assumption. To test the generalized instrumental inequalities, we propose an approach combining a sample splitting procedure and an inference method for intersection bounds. This idea allows one to easily implement the test using existing Stata packages. We apply our proposed strategy to assess the validity of the instrumental variable independence assumption for various instruments used in the returns to college literature.
引用
收藏
页码:661 / 675
页数:15
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