Abstract
We test the assumption of conditional symmetry used to identify and estimate parameters in regression models with endogenous regressors, without making any distributional assumptions. The Kolmogorov–Smirnov-type statistic we propose is consistent, computationally tractable because it does not require optimisation over an uncountable set, free of any kind of nonparametric smoothing, and can detect n 1/2-deviations from the null. Results from a simulation experiment suggest that our test can work very well in moderately sized samples.
Acknowledgements
We thank an anonymous referee for helpful comments.