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

No 904, SOI - Working Papers from Socioeconomic Institute - University of Zurich

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.

Keywords: Endogeneity; Poisson; dummy variable; testing (search for similar items in EconPapers)
JEL-codes: C12 C25 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (17)

Published in Communications in Statistics: Simulation and Computation, 38(9), pp. 1834-1855, 2009

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Persistent link: https://EconPapers.repec.org/RePEc:soz:wpaper:0904

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