Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82155
Authors: 
de Luna, Xavier
Johansson, Per
Year of Publication: 
2001
Series/Report no.: 
Working Paper, IFAU - Institute for Labour Market Policy Evaluation 2001:9
Abstract: 
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and then split the sample into two parts. Using a Chow test, it can then be tested whether estimated parameters in the two sub-samples are different. We give conditions under which it is possible to test for exogeneity by using the (supposedly) endogenous variable as a sorting score. The resulting test does not need instrumental variables. Evidence from a Monte Carlo study and an empirical application suggets that the test can be useful for practitioners.
Subjects: 
Absenteeism at work
endogeneity
linear exponential family
random effect
random coefficient
selectivity
JEL: 
C12
C14
C15
C21
C31
C52
Document Type: 
Working Paper

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