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CCER讨论稿：Instrument Validity for Heterogeneous Causal Effects

发布日期：2023-02-20 04:22    来源：

E2023004                                                           2023-02-20

Zhenting Sun

China Center for Economic Research

National School of Development

Peking University

 

Abstract

This paper provides a general framework for testing instrument validity in heterogeneous causal effect models. The generalization includes the cases where the treatment can be multivalued ordered or unordered. Based on a series of testable implications, we propose a nonparametric test which is proved to be asymptotically size controlled and consistent. Compared to the tests in the literature, our test can be applied in more general settings and may achieve power improvement. Refutation of instrument validity by the test helps detect invalid instruments that may yield implausible results on causal effects. Evidence that the test performs well on finite samples is provided via simulations. We revisit the empirical study on return to schooling to demonstrate application of the proposed test in practice. An extended continuous mapping theorem and an extended delta method, which may be of independent interest, are provided to establish the asymptotic distribution of the test statistic under null.

Keywords: Instrument validity, heterogeneous causal effects, general nonparametric test, power improvement, extended continuous mapping theorem, extended delta method

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