A Non-Parametric Test of Exogeneity

Richard Blundell () and Joel L. Horowitz

The Review of Economic Studies, 2007, vol. 74, issue 4, 1035-1058

Abstract: This paper presents a test for exogeneity of explanatory variables that minimizes the need for auxiliary assumptions that are not required by the definition of exogeneity. It concerns inference about a non-parametric function g that is identified by a conditional moment restriction involving instrumental variables (IV). A test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X is developed that is not subject to the ill-posed inverse problem of non-parametric IV estimation. The test is consistent whenever g differs from E (Y ∣ X) on a set of non-zero probability. The usefulness of this new exogeneity test is displayed through Monte Carlo experiments and an application to estimation of non-parametric consumer expansion paths. Copyright 2007, Wiley-Blackwell.

Date: 2007
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Working Paper: A nonparametric test of exogeneity (2004)
Working Paper: A nonparametric test of exogeneity (2004)
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