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Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together With a conditional independence …
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together with a conditional independence …