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Tests for endogeneity and instrument suitability

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  • Phoebus J. Dhrymes

    ()
    (Columbia University - Department of Economics)

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    Abstract

    This paper deals with two alternatives to the so-called Hausman test for the exogeneity of instruments, in the context of a model where one or more explanatory variables are possibly correlated with the structural error. These two alternatives are at least as good or better than the Hausman test and are much simpler to carry out. A small Monte Carlo study illustrates this result.

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    File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0203-21.pdf
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    Bibliographic Info

    Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0203-21.

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    Length: 41 pages
    Date of creation: 2003
    Date of revision:
    Handle: RePEc:clu:wpaper:0203-21

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