A robust test of exogeneity based on quantile regressions

Abstract : In this paper, we propose a robust test of exogeneity. The test statistics is constructed from quantile regression estimators, which are robust to heavy tails of errors. We derive the asymptotic distribution of the test statistic under the null hypothesis of exogeneity at a given quantile. The finite sample properties of the test are investigated through Monte Carlo simulations that exhibit not only good size and power properties, but also good robustness to outliers.
Complete list of metadatas

https://hal-amu.archives-ouvertes.fr/hal-01647506
Contributor : Elisabeth Lhuillier <>
Submitted on : Friday, November 24, 2017 - 1:24:59 PM
Last modification on : Monday, March 4, 2019 - 2:04:16 PM

Links full text

Identifiers

Collections

Citation

Tae-Hwan Kim, Christophe Muller. A robust test of exogeneity based on quantile regressions. Journal of Statistical Computation and Simulation, Taylor & Francis, 2017, 87 (11), pp.2161 - 2174. ⟨10.1080/00949655.2017.1319947⟩. ⟨hal-01647506⟩

Share

Metrics

Record views

106