Testing for exogeneity: a survey

Details

Serval ID
serval:BIB_DC9C5A3C7328
Type
Article: article from journal or magazin.
Collection
Publications
Title
Testing for exogeneity: a survey
Journal
Economic Notes
Author(s)
Holly Alberto
Publication state
Published
Issued date
1987
Peer-reviewed
Oui
Volume
3
Pages
108-130
Language
english
Abstract
The purpose of this paper is to survey several statistical procedures for testing exogeneity. The definitions of exogeneity and noncausality that are of relevance for this problem are first given. The classical instrumental variable procedure is then considered, and it is shown that an alternative formulation can be given in terms of a "completed" model. This alternative formulation indicates that most of the interference problems in the context of instrumental variables can be solved within a framework analogous to the limited information maximum likelihood procedure. This is notably the case for the exogeneity test.
Create date
07/10/2010 17:18
Last modification date
20/08/2019 16:01
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