Related papers: Some Finite-Sample Results on the Hausman Test
Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identification results under a variety of…
The hypothesis of homogeneous treatment effects is central to the instrumental variables literature. This assumption signifies that treatment effects are constant across all subjects. It allows to interpret instrumental variable estimates…
We provide a justification for why, and when, endogeneity will not cause bias in the interpretation of the coefficients in a regression model. This technique can be a viable alternative to, or even used alongside, the instrumental variable…
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…
In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We…
Modern, high dimensional data has renewed investigation on instrumental variables (IV) analysis, primarily focusing on estimation of effects of endogenous variables and putting little attention towards specification tests. This paper…
This paper considers inference in a linear instrumental variable regression model with many potentially weak instruments, in the presence of heterogeneous treatment effects. I first show that existing test procedures, including those that…
Linear regressions with endogeneity are widely used to estimate causal effects. This paper studies a framework that involves two common practical issues: endogeneity of the regressors and heteroskedasticity that depends on endogenous…
We develop a novel test of the instrumental variable identifying assumptions for heterogeneous treatment effect models with conditioning covariates. We assume semiparametric dependence between potential outcomes and conditioning covariates.…
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian…
This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental variables. The tests may be used when considering…
We propose a novel test statistic for testing exogeneity in the functional linear regression model. In contrast to Hausman-type tests in finite dimensional linear regression setups, a direct extension to the functional linear regression…
This note presents a proof of the conjecture in \citet*{pearl1995testability} about testing the validity of an instrumental variable in hidden variable models. It implies that instrument validity cannot be tested in the case where the…
This paper studies a semiparametric quantile regression model with endogenous variables and random right censoring. The endogeneity issue is solved using instrumental variables. It is assumed that the structural quantile of the logarithm of…
We provide a Copula-based approach to test the exogeneity of instrumental variables in linear regression models. We show that the exogeneity of instrumental variables is equivalent to the exogeneity of their standard normal transformations…
We propose a Hausman test for the correct specification of unobserved heterogeneity in both linear and nonlinear fixed-effects panel data models. The null hypothesis is that heterogeneity is either time-invariant or, symmetrically,…
Instrumental variables are widely used for estimating causal effects in the presence of unmeasured confounding. The discrete instrumental variable model has testable implications on the law of the observed data. However, current assessments…
This paper discusses endogenous treatment models with duration outcomes, competing risks and random right censoring. The endogeneity issue is solved using a discrete instrumental variable. We show that the competing risks model generates a…
Certain causal models involving unmeasured variables induce no independence constraints among the observed variables but imply, nevertheless, inequality contraints on the observed distribution. This paper derives a general formula for such…
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP)…