Kim, Tae-Hwan; Muller, Christophe - HAL - 2013
In this paper, we develop a test to detect the presence of endogeneity in conditional quantiles. Our test is a Hausman …-type test based on the distance between two estimators, of which one is consistent only under no endogeneity while the other is … consistent regardless of the presence of endogeneity in conditional quantile models. We derive the asymptotic distribution of the …