Testing for exogeneity: a survey

Détails

ID Serval
serval:BIB_DC9C5A3C7328
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Testing for exogeneity: a survey
Périodique
Economic Notes
Auteur⸱e⸱s
Holly Alberto
Statut éditorial
Publié
Date de publication
1987
Peer-reviewed
Oui
Volume
3
Pages
108-130
Langue
anglais
Résumé
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.
Création de la notice
07/10/2010 18:18
Dernière modification de la notice
20/08/2019 17:01
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