Non-testability of instrument validity under continuous endogenous variables
Econometrics
2020-11-30 v3 Statistics Theory
Statistics Theory
Abstract
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 endogenous treatment is continuously distributed. This stands in contrast to the classical testability results for instrument validity when the treatment is discrete. However, imposing weak structural assumptions on the model, such as continuity between the observable variables, can re-establish theoretical testability in the continuous setting.
Keywords
Cite
@article{arxiv.1806.09517,
title = {Non-testability of instrument validity under continuous endogenous variables},
author = {Florian Gunsilius},
journal= {arXiv preprint arXiv:1806.09517},
year = {2020}
}
Comments
25 pages, 3 figures