A robust test of exogeneity based on quantile regressions

Tae Hwan Kim, Christophe Muller

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)2161-2174
Number of pages14
JournalJournal of Statistical Computation and Simulation
Volume87
Issue number11
DOIs
Publication statusPublished - 2017 Jul 24

Bibliographical note

Publisher 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

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