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

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Author Info
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
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Publisher Info
Paper provided by University of Zurich, Socioeconomic Institute in its series Working Papers with number 0904.

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Length: 30 pages
Date of creation: Feb 2009
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Handle: RePEc:soz:wpaper:0904

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Keywords: Endogeneity; Poisson; dummy variable; testing;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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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.:
  1. Francois Degeorge & Francois Derrien & Kent L. Womack, 2007. "Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 20(4), pages 1021-1058. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
  5. Andrés Romeu & Marcos Vera-Hernández, 2005. "Counts with an endogenous binary regressor: A series expansion approach," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 1-22, 03. [Downloadable!] (restricted)
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  6. Hiroaki Masuhara, 2008. "Semi-nonparametric count data estimation with an endogenous binary variable," Economics Bulletin, Economics Bulletin, vol. 3(42), pages 1-13. [Downloadable!]
  7. Alfonso Miranda, 2004. "FIML estimation of an endogenous switching model for count data," Stata Journal, StataCorp LP, vol. 4(1), pages 40-49, March. [Downloadable!]
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  8. 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. [Downloadable!] (restricted)
  9. 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. [Downloadable!]
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  10. Michael Creel, 2004. "Modified Hausman tests for inefficient estimators," Applied Economics, Taylor and Francis Journals, vol. 36(21), pages 2373-2376, December. [Downloadable!] (restricted)
  11. J. M. C. Santos Silva & Silvana Tenreyro, 2006. "The Log of Gravity," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 641-658, 09. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Ilja Neustadt & Peter Zweifel, 2009. "Social Mobility and Preferences for Income Redistribution: Evidence from a Discrete Choice Experiment," Working Papers 0909, University of Zurich, Socioeconomic Institute. [Downloadable!]
  2. Maurus Rischatsch & Maria Trottmann, 2009. "Physician dispensing and the choice between generic and brand-name drugs – Do margins affect choice?," Working Papers 0911, University of Zurich, Socioeconomic Institute. [Downloadable!]
  3. Maurus Rischatsch, 2009. "Simulating WTP Values from Random-Coefficient Models," Working Papers 0912, University of Zurich, Socioeconomic Institute. [Downloadable!]
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