A robust test of exogeneity based on quantile regressions

Kim Tae-Hwan; Muller Christophe

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A robust test of exogeneity based on quantile regressions

机译：基于分位数回归的可靠的外生性检验

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摘要

In this paper, we propose a robust test of exogeneity. The test statistics is constructed from quantile regression estimators, which are robust to heavy tails of errors. We derive the asymptotic distribution of the test statistic under the null hypothesis of exogeneity at a given quantile. The finite sample properties of the test are investigated through Monte Carlo simulations that exhibit not only good size and power properties, but also good robustness to outliers.

机译：在本文中，我们提出了可靠的外生性检验。检验统计量是根据分位数回归估计量构造的，这些估计量对于错误的严重尾部具有鲁棒性。在给定的分位数下，我们在外生性的零假设下得出检验统计量的渐近分布。通过蒙特卡洛模拟研究了测试的有限样本属性，这些属性不仅表现出良好的尺寸和功效，而且对异常值具有良好的鲁棒性。

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来源
《Journal of statistical computation and simulation》 |2017年第12期|2161-2174|共14页
作者
Kim Tae-Hwan; Muller Christophe;
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作者单位

Yonsei Univ, Sch Econ, Seoul 120749, South Korea;

Aix Marseille Univ, Aix Marseille Sch Econ, CNRS, Aix En Provence, France|EHESS, Aix En Provence, France;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Regression quantile; endogeneity; two-stage estimation; Hausman test; C21;

机译：回归分位数;内生性;两阶段估计;Hausman检验;C21;

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2. Testing exogeneity in nonparametric instrumental variables models identified by conditional quantile restrictions [J] . Fu Jia-Young Michael, Horowitz Joel L., Parey Matthias The econometrics journal . 2021,第1期

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3. Regression spline bivariate probit models: A practical approach to testing for exogeneity [J] . Marra Giampiero, Radice Rosalba, Filippou Panagiota Communications in Statistics . 2017,第3期

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4. Testing of Financial Contagion and Analysis of Contagious Degree Based on Quantile Regression Model [C] . Parag Pruthi, Ashok Erramilli 2006年中国国际金融年会 . 2006

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5. Some topics on robust nonparametric regression and regression quantiles [D] . Shen, Liji. 1994

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6. Regularized Quantile Regression and Robust Feature Screening for Single Index Models [O] . Wei Zhong, Liping Zhu, Runze Li, -1

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7. Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions [O] . Fu Jia-Young Michael, Horowitz Joel, Parey Matthias 2015

机译：测试由条件分位数限制识别的非参数工具变量的外生性

A robust test of exogeneity based on quantile regressions

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