Campus Units

Economics

Document Type

Article

Publication Version

Submitted Manuscript

Publication Date

2-29-2020

Journal or Book Title

Biometrika

DOI

10.1093/biomet/asaa003

Abstract

This paper proposes a new set of testable implications of the instrumen- tal variable (IV) independence assumption: generalized instrumental inequalities. In our leading case with a binary outcome, we show that the generalized instrumen- tal inequalities are necessary and sufficient to detect all observable violations of the IV independence assumption. To test the generalized instrumental inequalities, we propose an approach combining a sample splitting procedure and intersection bounds inferential methods. This idea allows one to easily implement the test using the Stata package of Chernozhukov, Kim, Lee, and Rosen (2015).We apply our pro- posed strategy to assess the validity of the IV independence assumption for various instruments used in the returns to college literature.

Comments

This is a manuscript of an article published as Kédagni, Désiré, and Ismael Mourifié. "Generalized instrumental inequalities: testing the instrumental variable independence assumption." Biometrika (2020). doi: 10.1093/biomet/asaa003. Posted with permission.

Copyright Owner

Biometrika Trust

Language

en

File Format

application/pdf

Published Version

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