Testing exogeneity in nonparametric instrumental variables models identified by conditional quantile restrictions

DOI10.1093/ECTJ/UTAA007OpenAlexW4231481049MaRDI QIDQ5083242FDOQ5083242

Matthias Parey, Jia-Young Fu (Michael), Joel Horowitz

Publication date: 22 June 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utaa007

zbMATH Keywords

hypothesis testinstrumental variablesspecification testingquantile estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (1)

• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION

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