A Robust Test of Exogeneity Based on Quantile Regressions

Tae-Hwan Kim () and Christophe Muller

Working Papers from HAL

Abstract: In this paper, we propose a robust test of exogeneity. The test statistics is constructed from quantile regression estimators, which are robust to heavy tails of errors. We derive the asymptotic distribution of the test statistic under the null hypothesis of exogeneity at a given quantile. Then, the finite sample properties of the test are investigated through Monte Carlo simulations that exhibit not only good size and power properties, but also good robustness to outliers.

Keywords: regression quantile; endogeneity; two-stage estimation; Hausman test (search for similar items in EconPapers)
Date: 2017-04
New Economics Papers: this item is included in nep-ecm
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01508067v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://shs.hal.science/halshs-01508067v1/document (application/pdf)

Related works:
Working Paper: A Robust Test of Exogeneity Based on Quantile Regressions (2017)
Working Paper: A robust test of exogeneity based on quantile regressions (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-01508067

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().