Azeem Shaikh (University of Chicago), “On the Testability of Identification in Some Nonparametric Models with Endogeneity”, Econometrics Seminar, Toulouse: TSE, December 14, 2011, 15:30–17:00, room MF 323.
This paper considers three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem concerns testing necessary conditions for identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically referred to as completeness conditions. The second and third hypothesis testing problems concern testing identification directly in some nonparametric models with endogeneity involving quantile independence restrictions. For each of these hypothesis testing problems, we provide conditions under which any sequence of tests that controls asymptotic size has asymptotic power no greater than size against any alternative. In this sense, no nontrivial tests for these hypothesis testing problems exist.