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Article: Effects on inference of pretesting the exogeneity of a regressor

TitleEffects on inference of pretesting the exogeneity of a regressor
Authors
KeywordsBootstrap
Exogeneity
Pretest
Issue Date1997
PublisherElsevier 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?
AbstractThis 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 Identifierhttp://hdl.handle.net/10722/177667
ISSN
2015 Impact Factor: 0.603
2015 SCImago Journal Rankings: 0.612
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWong, KFen_US
dc.date.accessioned2012-12-19T09:39:28Z-
dc.date.available2012-12-19T09:39:28Z-
dc.date.issued1997en_US
dc.identifier.citationEconomics Letters, 1997, v. 56 n. 3, p. 267-271en_US
dc.identifier.issn0165-1765en_US
dc.identifier.urihttp://hdl.handle.net/10722/177667-
dc.description.abstractThis 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.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecoleten_US
dc.relation.ispartofEconomics Lettersen_US
dc.subjectBootstrapen_US
dc.subjectExogeneityen_US
dc.subjectPretesten_US
dc.titleEffects on inference of pretesting the exogeneity of a regressoren_US
dc.typeArticleen_US
dc.identifier.emailWong, KF: kafuwong@hkucc.hku.hken_US
dc.identifier.authorityWong, KF=rp01111en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0165-1765(97)00172-9-
dc.identifier.scopuseid_2-s2.0-0031287040en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0031287040&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume56en_US
dc.identifier.issue3en_US
dc.identifier.spage267en_US
dc.identifier.epage271en_US
dc.identifier.isiWOS:A1997YL19600003-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridWong, KF=8872594700en_US

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