Showing 1 - 10 of 1,133
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
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
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
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 identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010835571
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
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10005207254
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10010321023
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10011571651
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
-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described. …
Persistent link: https://www.econbiz.de/10005074035