A Test for Endogeneity in Conditional Quantiles
AbstractIn this paper, we develop a test to detect the presence of endogeneity in conditional quantiles. Our test is a Hausman-type test based on the distance between two estimators, of which one is consistent only under no endogeneity while the other is consistent regardless of the presence of endogeneity in conditional quantile models. We derive the asymptotic distribution of the test statistic under the null hypothesis of no endogeneity. The finite sample properties of the test are investigated through Monte Carlo simulations, and it is found that the test shows good size and power properties in finite samples. As opposed to the test based on the IVQR estimator of Chernozhukov and Hansen (2006) in the case of more than a couple of variables, our approach does not imply an infeasible computation time. Finally, we apply our approach to test for endogeneity in conditional quantile models for estimating Engel curves using UK consumption and expenditure data. The pattern of endogeneity in the Engel curve is found to vary substantially across quantiles
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Working Papers with number halshs-00854527.
Date of creation: Aug 2013
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00854527
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
regression quantile; endogeneity; two-stage estimation; Hausman test; Engel curve;
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Han Hong & Elie Tamer, 2003.
"Inference in Censored Models with Endogenous Regressors,"
Econometric Society, vol. 71(3), pages 905-932, 05.
- Elie Tamer, 2000. "Inference in Censored Models with Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1815, Econometric Society.
- Omar Arias & Walter Sosa-Escudero & Kevin F. Hallock, 2001.
"Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data,"
Springer, vol. 26(1), pages 7-40.
- Omar Arias & Kevin F. Hallock & Walter Sosa Escudero, 1999. "Individual Heterogeneity in the Returns to Schooling: Instrumental Variables Quantile Regression using Twins Data," Department of Economics, Working Papers 016, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Thanaset Chevapatrakul & Tae-Hwan Kim & Paul Mizen, 2009. "The Taylor Principle and Monetary Policy Approaching a Zero Bound on Nominal Rates: Quantile Regression Results for the United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1705-1723, December.
- Sokbae 'Simon' Lee, 2004.
"Endogeneity in quantile regression models: a control function approach,"
CeMMAP working papers
CWP08/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lee, Sokbae, 2007. "Endogeneity in quantile regression models: A control function approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1131-1158, December.
- Sokbae Lee, 2004. "Endogeneity in Quantile Regression Models: A Control Function Approach," Econometric Society 2004 North American Summer Meetings 521, Econometric Society.
- Christophe Muller & Tae-Hwan Kim, 2004.
"Two-Stage Quantile Regression When The First Stage Is Based On Quantile Regression,"
Working Papers. Serie AD
2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Tae-Hwan Kim & Christophe Muller, 2004. "Two-stage quantile regression when the first stage is based on quantile regression," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 218-231, 06.
- Amemiya, Takeshi, 1982. "Two Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 50(3), pages 689-711, May.
- Lee, Yoonseok & Okui, Ryo, 2012. "Hahn–Hausman test as a specification test," Journal of Econometrics, Elsevier, vol. 167(1), pages 133-139.
- Jaume Garcia & Pedro J. Hernández & Ángel López Nicolás, 1998.
"How wide is the gap? An investigation of gender wage differences using quantile regression,"
Economics Working Papers
287, Department of Economics and Business, Universitat Pompeu Fabra.
- Angel López-Nicolás & Jaume García & Pedro J. Hernández, 2001. "How wide is the gap? An investigation of gender wage differences using quantile regression," Empirical Economics, Springer, vol. 26(1), pages 149-167.
- Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November.
- Tae-Hwan Kim, & Christophe Muller, 2012.
"Bias Transmission and Variance Reduction in Two-Stage Quantile Regression,"
AMSE Working Papers
1221, Aix-Marseille School of Economics, Marseille, France.
- Tae-Hwan Kim & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," Working Papers halshs-00793372, HAL.
- Wolters, Maik H., 2012.
"Estimating monetary policy reaction functions using quantile regressions,"
Journal of Macroeconomics,
Elsevier, vol. 34(2), pages 342-361.
- Wolters, Maik Hendrik, 2010. "Estimating Monetary Policy Reaction Functions Using Quantile Regressions," MPRA Paper 23857, University Library of Munich, Germany.
- Powell, James L, 1983. "The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 51(5), pages 1569-75, September.
- Sakata, Shinichi, 2007. "Instrumental variable estimation based on conditional median restriction," Journal of Econometrics, Elsevier, vol. 141(2), pages 350-382, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.