Testing endogeneity with high dimensional covariates
Testing endogeneity with high dimensional covariates
复制标题
用高维协变量测试内生性
DOI：
10.1016/j.jeconom.2018.07.002
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发表时间：
2016
影响因子：
6.3
通讯作者：
Dylan S. Small
中科院分区：
文献类型：
--
作者：
Zijian Guo;Hyunseung Kang;T. T. Cai;Dylan S. Small
现代高维数据对工具变量(IV)分析有了新的研究，主要集中在对内生变量影响的估计上，而对规范测试的关注较少。本文高维研究了Durbin-Wu-Hausman(DWH)检验，这是一种流行的IV回归中内生性的规范检验。令人惊讶的是，我们展示了DWH测试在高维中保持其大小，但以功耗为代价。我们提出了一种新的测试来解决这个问题，并且比DWH测试具有更好的性能。模拟研究表明，我们的测试在检测内生性方面取得了近乎先知的性能。
Modern, high dimensional data has renewed investigation on instrumental variables (IV) analysis, primarily focusing on estimation of effects of endogenous variables and putting little attention towards specification tests. This paper studies in high dimensions the Durbin–Wu–Hausman (DWH) test, a popular specification test for endogeneity in IV regression. We show, surprisingly, that the DWH test maintains its size in high dimensions, but at an expense of power. We propose a new test that remedies this issue and has better power than the DWH test. Simulation studies reveal that our test achieves near-oracle performance to detect endogeneity.