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A test of endogeneity in quantiles

Abstract : In this paper we develop a test to detect the presence of endogeneity in different quantiles in the conditional distribution of a variable of interest. This Hausman test type is based on one estimator consistent only under no endogeneity at the examined quantile and another estimator consistent in both the null and the alternative hypotheses. We derive the asymptotic distribution of the test statistic. Moreover, we study the finite sample properties of this test with Monte Carlo simulations of which results exhibit substantial power in the studied cases. Finally, we apply our test to Engel curve estimation with UK data. We find that the pattern of the endogenenity of the total expenditure for various commodities (food, alcohol, fuel, transport, services) is complex when examining it across quantiles.
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Submitted on : Thursday, June 24, 2010 - 8:58:42 AM
Last modification on : Tuesday, November 9, 2021 - 2:54:03 PM
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  • HAL Id : inria-00494786, version 1



Tae-Hwan Kim, Christophe Muller. A test of endogeneity in quantiles. 42èmes Journées de Statistique, 2010, Marseille, France, France. ⟨inria-00494786⟩



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