Show simple item record

Files in this item

Thumbnail

Item metadata

dc.contributor.authorLee, Jinhyun
dc.date.accessioned2013-10-16T15:01:07Z
dc.date.available2013-10-16T15:01:07Z
dc.date.issued2013-09
dc.identifier.citationLee , J 2013 ' A consistent nonparametric bootstrap test of exogeneity ' School of Economics & Finance Discussion Paper 1316 , no. 1316 , University of St Andrews .en
dc.identifier.issn0962-4031
dc.identifier.otherPURE: 36174209
dc.identifier.otherPURE UUID: cba08f44-cbef-40cb-b396-2542ea98ed79
dc.identifier.urihttp://hdl.handle.net/10023/4091
dc.description.abstractThis paper proposes a novel way of testing exogeneity of an explanatory variable without any parametric assumptions in the presence of a "conditional" instrumental variable. A testable implication is derived that if an explanatory variable is endogenous, the conditional distribution of the outcome given the endogenous variable is not independent of its instrumental variable(s). The test rejects the null hypothesis with probability one if the explanatory variable is endogenous and it detects alternatives converging to the null at a rate n^{-1/2}. We propose a consistent nonparametric bootstrap test to implement this testable implication. We show that the proposed bootstrap test can be asymptotically justified in the sense that it produces asymptotically correct size under the null of exogeneity, and it has unit power asymptotically. Our nonparametric test can be applied to the cases in which the outcome is generated by an additively non-separable structural relation or in which the outcome is discrete, which has not been studied in the literature.
dc.format.extent37
dc.language.isoeng
dc.publisherUniversity of St Andrews
dc.relation.ispartofseriesSchool of Economics & Finance Discussion Paper 1316en
dc.rights(c) 2013 the authoren
dc.subjectHB Economic Theoryen
dc.subject.lccHBen
dc.titleA consistent nonparametric bootstrap test of exogeneityen
dc.typeWorking or discussion paperen
dc.description.versionPostprinten
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.identifier.urlhttp://www.st-andrews.ac.uk/economics/repecfiles/4/1316.pdfen
dc.identifier.urlhttp://ideas.repec.org/p/san/wpecon/1316.htmlen


This item appears in the following Collection(s)

Show simple item record