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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.

Suggested Citation

  • Kevin E. Staub, 2009. "Simple tests for exogeneity of a binary explanatory variable in count data regression models," SOI - Working Papers 0904, Socioeconomic Institute - University of Zurich.
  • Handle: RePEc:soz:wpaper:0904
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    File URL: http://www.econ.uzh.ch/static/wp_soi/wp0904.pdf
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    4. Polk, Andreas & Schmutzler, Armin & Müller, Adrian, 2014. "Lobbying and the power of multinational firms," European Journal of Political Economy, Elsevier, vol. 36(C), pages 209-227.
    5. Geraci Andrea & Fabbri Daniele & Monfardini Chiara, 2018. "Testing Exogeneity of Multinomial Regressors in Count Data Models: Does Two-stage Residual Inclusion Work?," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-19, January.
    6. Alexander Myasnikov & Svetlana Seregina, 2020. "Russian Faculty"s Attitudes Toward Using Math in Economics Courses," Educational Studies, Higher School of Economics, issue 3, pages 137-164.
    7. Kul B. Luintel & Yongdeng Xu, 2017. "Testing weak exogeneity in multiplicative error models," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1617-1630, October.
    8. 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.
    9. Мясников А. А. & Серегина С. Ф., 2020. "Отношение Российских Преподавателей Экономики К Использованию Математики," Вопросы образования // Educational Studies, НИУ ВШЭ, issue 3, pages 137-164.
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    More about this item

    Keywords

    Endogeneity; Poisson; dummy variable; testing;
    All these keywords.

    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; Probabilities

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