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Article: Effects on inference of pretesting the exogeneity of a regressor
| Title | Effects on inference of pretesting the exogeneity of a regressor |
|---|---|
| Authors | |
| Keywords | Bootstrap Exogeneity Pretest |
| Issue Date | 1997 |
| Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet |
| Citation | Economics Letters, 1997, v. 56 n. 3, p. 267-271 How to Cite? |
| Abstract | This paper investigates, via simulation, the performance of the inference of a pretest estimator based on a Hausman's test of exogeneity. I find that an inference based on conventional pretest procedure leads to a substantial size distortion. A bootstrap-based inferential procedure is proposed to take into account the pretesting effect on the small sample distribution of the pretest estimator in independently (possibly non-identically) distributed samples. My simulation shows that the bootstrap-based inference improves substantially over the conventional procedure. © 1997 Elsevier Science S.A. |
| Persistent Identifier | http://hdl.handle.net/10722/177667 |
| ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.729 |
| ISI Accession Number ID | |
| References |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Wong, KF | en_US |
| dc.date.accessioned | 2012-12-19T09:39:28Z | - |
| dc.date.available | 2012-12-19T09:39:28Z | - |
| dc.date.issued | 1997 | en_US |
| dc.identifier.citation | Economics Letters, 1997, v. 56 n. 3, p. 267-271 | en_US |
| dc.identifier.issn | 0165-1765 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10722/177667 | - |
| dc.description.abstract | This paper investigates, via simulation, the performance of the inference of a pretest estimator based on a Hausman's test of exogeneity. I find that an inference based on conventional pretest procedure leads to a substantial size distortion. A bootstrap-based inferential procedure is proposed to take into account the pretesting effect on the small sample distribution of the pretest estimator in independently (possibly non-identically) distributed samples. My simulation shows that the bootstrap-based inference improves substantially over the conventional procedure. © 1997 Elsevier Science S.A. | en_US |
| dc.language | eng | en_US |
| dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet | en_US |
| dc.relation.ispartof | Economics Letters | en_US |
| dc.subject | Bootstrap | en_US |
| dc.subject | Exogeneity | en_US |
| dc.subject | Pretest | en_US |
| dc.title | Effects on inference of pretesting the exogeneity of a regressor | en_US |
| dc.type | Article | en_US |
| dc.identifier.email | Wong, KF: kafuwong@hkucc.hku.hk | en_US |
| dc.identifier.authority | Wong, KF=rp01111 | en_US |
| dc.description.nature | link_to_subscribed_fulltext | en_US |
| dc.identifier.doi | 10.1016/S0165-1765(97)00172-9 | - |
| dc.identifier.scopus | eid_2-s2.0-0031287040 | en_US |
| dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0031287040&selection=ref&src=s&origin=recordpage | en_US |
| dc.identifier.volume | 56 | en_US |
| dc.identifier.issue | 3 | en_US |
| dc.identifier.spage | 267 | en_US |
| dc.identifier.epage | 271 | en_US |
| dc.identifier.isi | WOS:A1997YL19600003 | - |
| dc.publisher.place | Netherlands | en_US |
| dc.identifier.scopusauthorid | Wong, KF=8872594700 | en_US |
| dc.identifier.issnl | 0165-1765 | - |