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• 7,270
1 vote

Can all the regressors be endogenous in a given model?

In principle, there is nothing to exclude the case where all regressors are endogenous. My issue is that the Hurlin-Dumitrescu test has to do with Granger-causality, and Granger-causality examines ...
• 31.9k
1 vote

Does endogeneity matter when neither independent variable nor error term are correlated with dependent variable?

In a typical OLS model, $Y=\alpha+\beta X+\epsilon$, endogeneity exists when $E[\epsilon\,|\,X]\ne 0$, which results from $X$ and $\epsilon$ being correlated with one another. In your case, $Y$ ...
• 14.7k
1 vote

Testing for Endogeneity

I looked a bit more into this and I think I found the confirmation of my suspicion into this article, which describes the command ivreg2 in STATA. I am not a super-techy econometrician but from my ...
• 668
1 vote
Accepted

Testing for Endogeneity

(i) I think your idea makes sense. Under the null, $[X,Z]$ is orthogonal to $\varepsilon$. Under the alternative, $X$ is correlated with $\varepsilon$. (ii) Your statement that it's "basically a test ...
• 2,039

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