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Journal Articles Journal of Statistical Computation and Simulation Year : 2017

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.

Dates and versions

hal-01647506 , version 1 (24-11-2017)

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