This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

Economic theory that underlies many empirical microeconomic applications predicts that treatment responses depend on individuals’ characteristics and location on the outcome distribution. Using data from a large-scale Pakistani school report card experiment, we consider tests for treatment...

Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...

Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized familywise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and stepdown procedures that control the k-FWER...

This paper analyzes estimators based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006) under the local quantile treatment effects (LQTE) framework (Abadie et al., 2002). I show that the quantile treatment effect (QTE) estimators in the IVQR...