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Simple tests for exogeneity of a binary explanatory variable in count data regression models


Staub, K E (2009). Simple tests for exogeneity of a binary explanatory variable in count data regression models. Communications in Statistics - Simulation and Computation, 38(9):1834-1855.

Abstract

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.

Abstract

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.

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1 citation in Web of Science®
2 citations in Scopus®
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62 downloads since deposited on 14 Dec 2009
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
04 Faculty of Medicine > Institute of Evolutionary Medicine
Dewey Decimal Classification:330 Economics
Language:English
Date:1 October 2009
Deposited On:14 Dec 2009 13:51
Last Modified:05 Apr 2016 13:31
Publisher:Taylor & Francis
ISSN:0361-0918
Publisher DOI:https://doi.org/10.1080/03610910903147789

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