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Simple tests for exogeneity of a binary explanatory variable in count data regression models

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  • Kevin E. Staub

    ()
    (Socioeconomic Institute, University of Zurich)

Abstract

This 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.

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File URL: http://www.soi.uzh.ch/research/wp/2009/wp0904.pdf
File Function: first version, 2009
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Bibliographic Info

Paper provided by Socioeconomic Institute - University of Zurich in its series SOI - Working Papers with number 0904.

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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
Handle: RePEc:soz:wpaper:0904

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Keywords: Endogeneity; Poisson; dummy variable; testing;

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References

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  1. 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.
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  7. 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.
  8. 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).
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Michael Creel, 2004. "Modified Hausman tests for inefficient estimators," Applied Economics, Taylor & Francis Journals, vol. 36(21), pages 2373-2376.
  14. 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.
  15. 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.
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  17. 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.
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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. A. Geraci & D. Fabbri & C. Monfardini, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Working Papers wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
  5. Andreas Polk & Armin Schmutzler & Adrian Muller, 2010. "Lobbying and the Power of Multinational Firms," SOI - Working Papers 1008, Socioeconomic Institute - University of Zurich.
  6. 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.
  7. Xu, Yongdeng, 2013. "Weak exogeneity in the financial point processes," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
  8. Maurus Rischatsch, 2009. "Simulating WTP Values from Random-Coefficient Models," SOI - Working Papers 0912, Socioeconomic Institute - University of Zurich.

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