A robust test of exogeneity based on quantile regressions

References

• Hausman JA. Specification tests in econometrics. Econometrica. 1978;46:1251–1271. doi: 10.2307/1913827
   Web of Science ®Google Scholar
• Wooldridge J-M. Score diagnostic for linear models estimated by two stage least squares. In: Maddala GS, Phillips PCB, Srinivasan TN, editors. Advances in econometrics and quantitative economics: essays in honor of Professor C.R. Rao. Oxford: Blackwell Ltd., 66–87, Vol. 7, p. 31–51, Jan–March; 1995.
   Google Scholar
• Tchatoka FSD, Dufour J-M. Instrument endogeneity and identification-robust tests: some analytical results. J Stat Inference. 2008;138:2649–2661. doi: 10.1016/j.jspi.2008.03.006
   Web of Science ®Google Scholar
• Peracchi F. Robust M-test. Econometric Theory. 1991;7:69–84. doi: 10.1017/S0266466600004242
   Web of Science ®Google Scholar
• Kim T-H, Muller C. Two-stage quantile regressions when the first stage is based on quantile regressions. Econom J. 2004;7:218–231. doi: 10.1111/j.1368-423X.2004.00128.x
   Google Scholar
• Chernozhukov V, Hansen C. Instrumental quantile regression inference for structural and treatment effect models. J Econometrics. 2006;132:491–525. doi: 10.1016/j.jeconom.2005.02.009
   Web of Science ®Google Scholar
• Amemiya T. Two stage least absolute deviations estimators. Econometrica. 1982;50:689–711. doi: 10.2307/1912608
   Web of Science ®Google Scholar
• Maronna R, Yohai VJ. The behavior of the Stahel-Donoho robust multivariate estimator. J Amer Statist Assoc. 1995;90:330–341. doi: 10.1080/01621459.1995.10476517
   Web of Science ®Google Scholar
• Hahn J, Hausman J. A new specification test for the validity of instrumental variables. Econometrica. 2002;70:163–189. doi: 10.1111/1468-0262.00272
   Web of Science ®Google Scholar
• Butler JS. Efficiency results of MLE and GMM estimation with sampling weights. J Econometrics. 2000;96:25–37. doi: 10.1016/S0304-4076(99)00049-4
   Web of Science ®Google Scholar
• Chmelarova V, Hill RC. The Hausman pretest estimator. Econom Lett. 2010;108:96–99. doi: 10.1016/j.econlet.2010.04.027
   Web of Science ®Google Scholar
• Lavergne P, Nguimkeu P-E. A Hausman specification test of conditional moment restrictions. Working Paper, Simon Fraser University; 2011.
   Google Scholar
• Lee Y, Okui R. Hahn-Hausman test as a specification test. J Econometrics. 2012;167:133–9. doi: 10.1016/j.jeconom.2011.10.005
   Web of Science ®Google Scholar
• Powell J. The asymptotic normality of two-stage least absolute deviations estimators. Econometrica. 1983;51:1569–75. doi: 10.2307/1912290
   Web of Science ®Google Scholar
• Chen L-A, Portnoy S. Two-stage regression quantiles and two-stage trimmed least squares estimators for structural equation models. Comm Statist Theory Methods. 1996;25:1005–1032. doi: 10.1080/03610929608831745
   Web of Science ®Google Scholar
• Kemp G. Least absolute error difference estimation of a single equation from a simultaneous equations system. Working Paper, University of Essex; 1999.
   Google Scholar
• Sakata S. Instrumental variable estimation based on conditional median restriction. J Econometrics. 2007;141:350–382. doi: 10.1016/j.jeconom.2006.10.001
   Web of Science ®Google Scholar
• Arias O, Hallock KF, Sosa-Escudero W. Individual heterogeneity in the returns to schooling: instrumental variables quantile regression using twins data. Empir Econ. 2001;26:7–40. doi: 10.1007/s001810000053
   Google Scholar
• Garcia J, Hernandez PJ, Lopez-Nicolàs A. How wide is the gap? An investigation of gender wage differences using quantile regression. Empir Econ. 2001;26:149–67. doi: 10.1007/s001810000050
   Google Scholar
• Chen X, Linton O, Van Keilegem I. Estimation of semi-parametric models when the criterion function is not smooth. Econometrica. 2003;71:1591–1608. doi: 10.1111/1468-0262.00461
   Web of Science ®Google Scholar
• Hong H, Tamer E. Inference in censored models with endogenous regressors. Econometrica. 2003;71:905–932. doi: 10.1111/1468-0262.00430
   Web of Science ®Google Scholar
• Kim T-H, Muller C. Bias transmission and variance reduction in two-stage quantile regressions. Working Paper, University of Aix-Marseille; 2012.
   Google Scholar
• Chernozhukov V, Hansen C. An IV model of quantile treatment effects. Econometrica. 2005;73:245–261. doi: 10.1111/j.1468-0262.2005.00570.x
   Web of Science ®Google Scholar
• Chernozhukov V, Hansen C. Instrumental variable quantile regression: a robust inference approach. J Econometrics. 2008;142:379–398. doi: 10.1016/j.jeconom.2007.06.005
   Web of Science ®Google Scholar
• Ma L, Koenker R. Quantile regression methods for recursive structural equation models. J Econometrics. 2006;134:471–506. doi: 10.1016/j.jeconom.2005.07.003
   Web of Science ®Google Scholar
• Horowitz JL, Lee S. Nonparametric instrumental variable estimation of a quantile regression model. Econometrica. 2007;75:1191–1208. doi: 10.1111/j.1468-0262.2007.00786.x
   Web of Science ®Google Scholar
• Lee S. Endogeneity in quantile regression models: a control function approach. J Econometrics. 2007;141:1131–1158. doi: 10.1016/j.jeconom.2007.01.014
   Web of Science ®Google Scholar
• Koenker R, Bassett G. Regression quantiles. Econometrica. 1978;46:33–49. doi: 10.2307/1913643
   Web of Science ®Google Scholar
• Kim T-H, White H. On more robust estimation of skewness and kurtosis. Finance Res Lett. 2004;1:56–73. doi: 10.1016/S1544-6123(03)00003-5
   Google Scholar