Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-51916
Staub, Kevin E (2009). Simple tests for exogeneity of a binary explanatory variable in count data regression models. Working paper series / Socioeconomic Institute No. 904, University of Zurich.
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.
|Item Type:||Working Paper|
|Communities & Collections:||03 Faculty of Economics > Department of Economics
Working Paper Series > Socioeconomic Institute (former)
|JEL Classification:||C12, C25|
|Deposited On:||29 Nov 2011 20:09|
|Last Modified:||09 Jul 2012 05:01|
|Series Name:||Working paper series / Socioeconomic Institute|
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