In this paper, we propose a robust test of exogeneity. The test statistics is constructed from quantile regression estimators, which are robust to heavy tails of errors. We derive the asymptotic distribution of the test statistic under the null hypothesis of exogeneity at a given quantile. The finite sample properties of the test are investigated through Monte Carlo simulations that exhibit not only good size and power properties, but also good robustness to outliers.
|Number of pages||14|
|Journal||Journal of Statistical Computation and Simulation|
|Publication status||Published - 2017 Jul 24|
Bibliographical notePublisher Copyright:
© 2017 Informa UK Limited, trading as Taylor & Francis Group.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modelling and Simulation
- Statistics, Probability and Uncertainty
- Applied Mathematics