A test for exogeneity in the presence of nonlinearities
Michael P. Babington
Department of Economics
Florida State University
Tallahassee, FL
[email protected]
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Javier Cano-Urbina
Department of Economics
Florida State University
Tallahassee, FL
[email protected]
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Abstract. We provide a command, locmtest, that implements a test for exogeneity
that is robust when the true relationship between the outcome variable and a
discrete potentially endogenous variable is nonlinear. This test was developed
in Lochner and Moretti (2015, Review of Economics and Statistics 97:
387–397), and it can be implemented even when only a single valid
instrument is available. We present the motivation and general idea of the
test. We also describe locmtest, which calculates the test, and provide
empirical applications of the test and the command.
View all articles by these authors:
Michael P. Babington, Javier Cano-Urbina
View all articles with these keywords:
locmtest, exogeneity, nonlinear
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