Simple tests for exogeneity of a binary explanatory variable in count data regression models
AbstractThis article investigates power and size of some tests for exogeneity of a binary explanatory variable in count models by conducting extensive Monte Carlo simulations. The tests under consideration are Hausman contrast tests as well as univariate Wald tests, including a new test of notably easy implementation. Performance of the tests is explored under misspecification of the underlying model and under different conditions regarding the instruments. The results indicate that often the tests that are simpler to estimate outperform tests that are more demanding. This is especially the case for the new test.
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 Socioeconomic Institute - University of Zurich in its series SOI - Working Papers with number 0904.
Length: 30 pages
Date of creation: Feb 2009
Date of revision:
Publication status: published in Communications in Statistics: Simulation and Computation, 38(9), pp. 1834-1855, 2009
Endogeneity; Poisson; dummy variable; testing;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
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.:
- Chiara Monfardini & Rosalba Radice, 2008. "Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 271-282, 04.
- Joao Santos Silva & Silvana Tenreyro, 2005.
"The Log of Gravity,"
CEP Discussion Papers
dp0701, Centre for Economic Performance, LSE.
- Santos Silva, Joao & Tenreyro, Silvana, 2005. "The Log of Gravity," CEPR Discussion Papers 5311, C.E.P.R. Discussion Papers.
- Joao Santos Silva & Silvana Tenreyro, 2005. "The log of gravity," LSE Research Online Documents on Economics 3744, London School of Economics and Political Science, LSE Library.
- Austin Nichols, 2007. "IVPOIS: Stata module to estimate an instrumental variables Poisson regression via GMM," Statistical Software Components S456890, Boston College Department of Economics, revised 03 Sep 2008.
- repec:ebl:ecbull:v:3:y:2008:i:42:p:1-13 is not listed on IDEAS
- Quintana-Garcia, Cristina & Benavides-Velasco, Carlos A., 2008. "Innovative competence, exploration and exploitation: The influence of technological diversification," Research Policy, Elsevier, vol. 37(3), pages 492-507, April.
- Windmeijer, F A G & Silva, J M C Santos, 1997.
"Endogeneity in Count Data Models: An Application to Demand for Health Care,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 12(3), pages 281-94, May-June.
- Frank Windmeijer & Joao Santos Silva, 1996. "Endogeneity in count data models; an application to demand for health care," IFS Working Papers W96/15, Institute for Fiscal Studies.
- Terza, Joseph V., 1998. "Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects," Journal of Econometrics, Elsevier, vol. 84(1), pages 129-154, May.
- Andrés Romeu & Marcos Vera-Hernández, 2004.
"Counts With An Endogenous Binary Regressor: A Series Expansion Approach,"
Working Papers. Serie AD
2004-36, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Andrés Romeu & Marcos Vera-Hern�ndez, 2005. "Counts with an endogenous binary regressor: A series expansion approach," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 1-22, 03.
- Grogger, Jeffrey, 1990. "A simple test for exogeneity in probit, logit, and poisson regression models," Economics Letters, Elsevier, vol. 33(4), pages 329-332, August.
- Peter Egger & Mario Larch & Kevin E. Staub & Rainer Winkelmann, 2010.
"The Trade Effects of Endogenous Preferential Trade Agreements,"
SOI - Working Papers
1013, Socioeconomic Institute - University of Zurich.
- Peter Egger & Mario Larch & Kevin E. Staub & Rainer Winkelmann, 2011. "The Trade Effects of Endogenous Preferential Trade Agreements," American Economic Journal: Economic Policy, American Economic Association, vol. 3(3), pages 113-43, August.
- Peter Egger & Mario Larch & Kevin E. Staub & Rainer Winkelmann, 2010. "The Trade Effects of Endogenous Preferential Trade Agreements," CESifo Working Paper Series 3253, CESifo Group Munich.
- Terza, Joseph V. & Basu, Anirban & Rathouz, Paul J., 2008. "Two-stage residual inclusion estimation: Addressing endogeneity in health econometric modeling," Journal of Health Economics, Elsevier, vol. 27(3), pages 531-543, May.
- Alfonso Miranda Caso Luengo, 2003.
"FIML estimation of an endogenous switching model for count data,"
United Kingdom Stata Users' Group Meetings 2003
07, Stata Users Group.
- Alfonso Miranda, 2004. "FIML estimation of an endogenous switching model for count data," Stata Journal, StataCorp LP, vol. 4(1), pages 40-49, March.
- Michael Creel, 2004. "Modified Hausman tests for inefficient estimators," Applied Economics, Taylor & Francis Journals, vol. 36(21), pages 2373-2376.
- Patrik Guggenberger, 2008. "The Impact of a Hausman Pretest on the Size of Hypothesis Tests," Cowles Foundation Discussion Papers 1651, Cowles Foundation for Research in Economics, Yale University.
- John Mullahy, 1997. "Instrumental-Variable Estimation Of Count Data Models: Applications To Models Of Cigarette Smoking Behavior," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 586-593, November.
- Hiroaki Masuhara, 2008. "Semi-nonparametric count data estimation with an endogenous binary variable," Economics Bulletin, AccessEcon, vol. 3(42), pages 1-13.
- Francois Degeorge & Francois Derrien & Kent L. Womack, 2007. "Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding," Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1021-1058.
- Michele Sennhauser, 2009. "Why the Linear Utility Function is a Risky Choice in Discrete-Choice Experiments," SOI - Working Papers 1014, Socioeconomic Institute - University of Zurich.
- Maurus Rischatsch & Maria Trottmann, 2009. "Physician dispensing and the choice between generic and brand-name drugs – Do margins affect choice?," SOI - Working Papers 0911, Socioeconomic Institute - University of Zurich.
- Ilja Neustadt & Peter Zweifel, 2009. "Economic Well-Being, Social Mobility, and Preferences for Income Redistribution: Evidence from a Discrete Choice Experiment," SOI - Working Papers 0909, Socioeconomic Institute - University of Zurich, revised Jan 2010.
- A. Geraci & D. Fabbri & C. Monfardini, 2014.
"Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?,"
wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
- Geraci, A.; & Fabbri, D.; & Monfardini, C.;, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Health, Econometrics and Data Group (HEDG) Working Papers 14/03, HEDG, c/o Department of Economics, University of York.
- Andreas Polk & Armin Schmutzler & Adrian Muller, 2010.
"Lobbying and the Power of Multinational Firms,"
SOI - Working Papers
1008, Socioeconomic Institute - University of Zurich.
- Polk, Andreas & Schmutzler, Armin & Müller, Adrian, 2013. "Lobbying and the Power of Multinational Firms," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79875, Verein für Socialpolitik / German Economic Association.
- Patrícia Simões & Ricardo Brito Soares, 2012. "Efeitos do programa bolsa família na fecundidade das beneficiárias," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(4), pages 445-468, December.
- Xu, Yongdeng, 2013. "Weak exogeneity in the financial point processes," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
- Maurus Rischatsch, 2009. "Simulating WTP Values from Random-Coefficient Models," SOI - Working Papers 0912, Socioeconomic Institute - University of Zurich.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marita Kieser).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.