On the finite sample performance of exogeneity tests of revankar, revankar and hartley and wu-hausman

Abstract

In this paper we compare the performance of the exogeneity tests of Revankar, Revankar and Hartley and Wu-Hausman for the cases of two and three included endogenous variables. The distribution and power functions are evaluated using the conditional distributions given in Kariya and Hodoshima. Our results indicate that the Revankar's test is the most powerful for large values of the concentration parameter and the Revankar and Hartley test is the most powerful for small values of the concentration parameter.

Keywords:

• Exogeneity Test
• Power Function
• Conditional Distribution
• Monte Carlo Simulation