A Test of Exogeneity Without Instrumental Variables in Models With Bunching

• 成果类型: Article
• 署名作者: Caetano, Carolina
• 署名单位: University of Rochester
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11231
• 发表日期: 2015
• 页码: 1581-1600
• 关键词: NUTRITION EXAMINATION SURVEY; low-birth-weight; national-health; COTININE LEVELS; smoking; origins; fetal

摘要

This paper presents a test of the exogeneity of a single explanatory variable in a multivariate model. It does not require the exogeneity of the other regressors or the existence of instrumental variables. The fundamental maintained assumption is that the model must be continuous in the explanatory variable of interest. This test has power when unobservable confounders are discontinuous with respect to the explanatory variable of interest, and it is particularly suitable for applications in which that variable has bunching points. An application of the test to the problem of estimating the effects of maternal smoking in birth weight shows evidence of remaining endogeneity, even after controlling for the most complete covariate specification in the literature.