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The performance of tests on endogeneity of subsets of... (2011) Open access

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Title The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
Published in None, Vol. 2011/13.
Author J.F. Kiviet; M. Pleus
Date 2011
Language English
Type Preprint
Publisher Universiteit van Amsterdam
Abstract Tests for classification as endogenous or predetermined of arbitrary subsets of regressors are formulated as significance tests in auxiliary IV regressions and their relationships with various more classic test procedures are examined. Simulation experiments are designed by solving the data generating process parameters from salient econometric features, namely: degree of simultaneity and multicollinearity of regressors, and individual and joint strength of external instrumental variables. Thus, for various test implementations, a wide class of relevant cases is scanned for flaws in performance regarding type I and II errors. Substantial size distortions occur, but these can be cured remarkably well through bootstrapping, except when instruments are weak. The power of the subset tests is such that they establish an essential addition to the well-known classic full-set DWH tests in a data based classification of individual explanatory variables.
Publication http://hdl.handle.net/11245/1.367495
Persistent Identifier urn:nbn:nl:ui:29-436032
Metadata XML
Repository University of Amsterdam

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