Instrumentality Tests Revisited
Blai Bonet
TL;DR
This paper provides a comprehensive analysis of Pearl's instrument validity test, introduces a general theory of instrumental tests, and proposes new tests for discrete and continuous variables, enhancing identification methods in econometrics.
Contribution
It offers a novel interpretation of Pearl's test, develops a general theory of instrumental tests, and introduces new tests for different variable types.
Findings
A new interpretation of Pearl's instrument validity test.
A general theory for instrumental tests.
New tests for discrete and continuous variables.
Abstract
An instrument is a random variable thatallows the identification of parameters inlinear models when the error terms arenot uncorrelated.It is a popular method used in economicsand the social sciences that reduces theproblem of identification to the problemof finding the appropriate instruments.Few years ago, Pearl introduced a necessarytest for instruments that allows the researcher to discard those candidatesthat fail the test.In this paper, we make a detailed study of Pearl's test and the general model forinstruments. The results of this studyinclude a novel interpretation of Pearl'stest, a general theory of instrumentaltests, and an affirmative answer to aprevious conjecture. We also presentnew instrumentality tests for the casesof discrete and continuous variables.
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Taxonomy
TopicsBayesian Modeling and Causal Inference · Statistical Methods and Inference · Advanced Causal Inference Techniques