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Testing a Conditional Form of Exogeneity

Author

Listed:
  • Halbert White
  • Karim Chalak

    (Boston College)

Abstract

We give two new approaches to testing a conditional form of exogeneity. This condition ensures unconfoundedness and identification of effects of interest in structural systems. As these approaches do not rely on the absence of causal effects of treatment under the null, they complement earlier methods of Rosenbaum (1987) and Heckman and Hotz (1989).

Suggested Citation

  • Halbert White & Karim Chalak, 2010. "Testing a Conditional Form of Exogeneity," Boston College Working Papers in Economics 733, Boston College Department of Economics.
  • Handle: RePEc:boc:bocoec:733
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    References listed on IDEAS

    as
    1. Halbert White & Karim Chalak, 2008. "Identifying Structural Effects in Nonseparable Systems Using Covariates," Boston College Working Papers in Economics 734, Boston College Department of Economics.
    2. Halbert White & Xun Lu, 2010. "Granger Causality and Dynamic Structural Systems," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 193-243, spring.
    3. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
    4. Jinyong Hahn, 2004. "Functional Restriction and Efficiency in Causal Inference," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 73-76, February.
    5. Hoderlein, Stefan, 2011. "How many consumers are rational?," Journal of Econometrics, Elsevier, vol. 164(2), pages 294-309, October.
    6. Guido W. Imbens, 2004. "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 4-29, February.
    7. Stefan Hoderlein & Enno Mammen, 2007. "Identification of Marginal Effects in Nonseparable Models Without Monotonicity," Econometrica, Econometric Society, vol. 75(5), pages 1513-1518, September.
    8. Heckman, J.J. & Hotz, V.J., 1988. "Choosing Among Alternative Nonexperimental Methods For Estimating The Impact Of Social Programs: The Case Of Manpower Training," University of Chicago - Economics Research Center 88-12, Chicago - Economics Research Center.
    9. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, July.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
    2. Muller, Christophe, 2018. "Heterogeneity and nonconstant effect in two-stage quantile regression," Econometrics and Statistics, Elsevier, vol. 8(C), pages 3-12.
    3. Hoderlein, Stefan & Su, Liangjun & White, Halbert & Yang, Thomas Tao, 2016. "Testing for monotonicity in unobservables under unconfoundedness," Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
    4. Christoph Breunig & Patrick Burauel, 2021. "Testability of Reverse Causality without Exogeneous Variation," Papers 2107.05936, arXiv.org.
    5. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
    6. Halbert White & Karim Chalak, 2013. "Identification and Identification Failure for Treatment Effects Using Structural Systems," Econometric Reviews, Taylor & Francis Journals, vol. 32(3), pages 273-317, November.

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    More about this item

    Keywords

    Causality; Conditional Exogeneity; Nonparametric Test; Treatment Effect; Unconfoundedness;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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