Testing Exogeneity

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Testing Exogeneity

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Author : Neil R. Ericsson
language : en
Publisher:
Release Date : 1994

Testing Exogeneity written by Neil R. Ericsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.

This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Testing Exogeneity In Cross Section Regression By Sorting Data

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Author : Xavier de Luna
language : en
Publisher:
Release Date : 2000

Testing Exogeneity In Cross Section Regression By Sorting Data written by Xavier de Luna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Testing Exogeneity Under Distributional Misspecification

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Author : Xavier De Luna
language : en
Publisher:
Release Date : 2001

Testing Exogeneity Under Distributional Misspecification written by Xavier De Luna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Absenteeism (Labor) categories.

Testing Exogeneity In Overindentified Models

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Author : Nunzio Cappuccio
language : en
Publisher:
Release Date : 1990

Testing Exogeneity In Overindentified Models written by Nunzio Cappuccio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.

Nonparametric Testing For Exogeneity With Discrete Regressors And Instruments

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Author : Katarzyna Bech
language : en
Publisher:
Release Date : 2015

Nonparametric Testing For Exogeneity With Discrete Regressors And Instruments written by Katarzyna Bech and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and instruments. Our interest is in learning about an unknown structural (conditional mean) function. An interesting feature of these models is that under endogeneity the identifying power of a discrete instrument depends on the number of support points of the instruments relative to that of the regressors, a result driven by the discreteness of the variables. Observing that the simple nonparametric additive error model can be interpreted as a linear regression, we present two test-statistics. For the point identifying model, the test is an adapted version of the standard Wu-Hausman approach. This extends the work of Blundell and Horowitz (2007) to the case of discrete regressors and instruments. For the set identifying model, the Wu-Hausman approach is not available. In this case the test-statistic is derived from a constrained minimization problem. The asymptotic distributions of the test-statistics are derived under the null and fixed and local alternatives. The tests are shown to be consistent, and a simulation study reveals that the proposed tests have satisfactory finite-sample properties.

Testing Exogeneity In Overidentified Models

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Author : Nunzio Cappuccio
language : en
Publisher:
Release Date : 1987

Testing Exogeneity In Overidentified Models written by Nunzio Cappuccio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.

Testing For Exogeneity In Cointegrated Panels

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Author : Lorenzo Trapani
language : en
Publisher:
Release Date : 2015

Testing For Exogeneity In Cointegrated Panels written by Lorenzo Trapani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is -consistent when there is no endogeneity. Other estimators can be employed, such as the FM-OLS, that are -consistent irrespective of whether exogeneity is present or not. Using the difference between the former and the latter estimator, we construct a test statistic which diverges at a rate under the null of endogeneity, whilst it is bounded under the alternative of exogeneity, and employ a randomization approach to carry out the test. Monte Carlo evidence shows that the test has the correct size and good power.

Testing For Exogeneity In Nonlinear Threshold Models

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Author :
language : en
Publisher:
Release Date : 2004

Testing For Exogeneity In Nonlinear Threshold Models written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

Testing Exogeneity In Overidentifield Models

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Author : Nunzio Capuccio
language : en
Publisher:
Release Date : 1987

Testing Exogeneity In Overidentifield Models written by Nunzio Capuccio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.

Testing Weak Exogeneity In The Exponential Family

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Author : Juan Jose Dolado
language : en
Publisher:
Release Date : 2006

Testing Weak Exogeneity In The Exponential Family written by Juan Jose Dolado and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

A common practice in empirical work is to estimate the conditional mean of a variable y on another variable x, ignoring its marginal density. Weak exogeneity of x for the parameters of interest in the conditional mean ensures valid inference. Available weak exogeneity tests correspond to a Gaussian-linear environment. However, there are some variables, typically related to financial marked-point processes, where non-Gaussian distributions and nonlinear means are much more appropriate assumptions. We propose two tests for weak exogeneity when the density is not necessarily Gaussian but belongs to the the family of exponential densities, and the conditional and marginal means are nonlinear. Both tests exploit dependencies (lack of free variation), under the alternative hypotesis, among parameters in both means. To illustrate this testing procedure, we analyze the relationship between trade size and trade durations for four stocks traded at NYSE. The null hypothesis of weak exogeneity is often rejected, questioning therefore some results in the literature which rely on separate estimation of each density.