A Robust Test of Exogeneity Based on Quantile Regressions
Tae-Hwan Kim () and
Christophe Muller ()
No 1716, AMSE Working Papers from Aix-Marseille School of Economics, France
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)
JEL-codes: C21 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
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)
Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1716
Access Statistics for this paper
More papers in AMSE Working Papers from Aix-Marseille School of Economics, France AMU - AMSE 5-9 Boulevard Maurice Bourdet, CS 50498 â€‹ 13205 Marseille Cedex 1. Contact information at EDIRC.
Bibliographic data for series maintained by GrÃ©gory Cornu ().