A robust test of exogeneity based on quantile regressions

Tae-Hwan Kim () and Christophe Muller

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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. 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: 2017-07
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Citations: View citations in EconPapers (3)

Published in Journal of Statistical Computation and Simulation, 2017, 87 (11), pp.2161 - 2174. ⟨10.1080/00949655.2017.1319947⟩

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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)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01647506

DOI: 10.1080/00949655.2017.1319947

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