Similar Search Results

The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

Jeong, Jinook; Yoon, Byung - Volkswirtschaftliche Fakultät, … - 2007

This paper investigates the potential problem of ‘pseudo-exogenous’ instruments in regression models. We show that the performance of Hausman test is deteriorated when the instruments are asymptotically exogenous but endogenous in finite samples, through Monte Carlo simulations.

Persistent link: https://www.econbiz.de/10005617039

Identification-robust inference for endogeneity parameters in linear structural models

Tchatoka, Firmin Doko; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2014

dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …

Persistent link: https://www.econbiz.de/10011183777

Identification-robust inference for endogeneity parameters in linear structural models

Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012

dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …

Persistent link: https://www.econbiz.de/10011107877

Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models

TCHATOKA, Firmin DOKO; DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2014

dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …

Persistent link: https://www.econbiz.de/10010894992

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2014

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10010958948

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Centre for Economic Reform and Transformation, School … - 2007

that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …

Persistent link: https://www.econbiz.de/10005292582

Instrumental variables and GMM: Estimation and testing

Baum, Christopher; Schaffer, Mark E.; Stillman, Steven - Department of Economics, Boston College - 2002

-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described. …

Persistent link: https://www.econbiz.de/10005074035

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007

that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …

Persistent link: https://www.econbiz.de/10005027835

A variable addition test for exogeneity in structural threshold models

Massacci, Daniele - In: Economics Letters 120 (2013) 1, pp. 5-9

This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.

Persistent link: https://www.econbiz.de/10010665679

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

(Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these …

Persistent link: https://www.econbiz.de/10010293734