When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
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- 作者：Jan F. Kiviet j.f.kiviet@uva.nl" class="auth_mail" title="E-mail the corresponding author
- 关键词：C2 ; C13 ; O5
- 刊名：Economics Letters
- 出版年：2016
- 出版时间：August 2016
- 年：2016
- 卷：145
- 期：Complete
- 页码：192-195
- 全文大小：362 K
文摘
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Examines corrections to least-squares to render it consistent under simultaneity.
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Derives the limiting distribution of estimators corrected for inconsistency.
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Exploits this to indicate the sensitivity of t-tests when one regressor is endogenous.
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Explains the flaws in an alternative approach published in Ashley and Parmeter (2015).