Testing the Exogeneity of Instrumental Variables and Regressors in Linear Regression Models Using Copulas
利用 Copula 检验线性回归中工具变量与回归变量的外生性
We provide a Copula-based approach to test the exogeneity of instrumental variables in linear regression models. We show that the exogeneity of instrumental variables is equivalent to the exogeneity of their standard normal transformations with the same CDF value. Then, we establish a Wald test for the exogeneity of the instrumental variables. We demonstrate the performance of our test using simulation studies. Our simulations show that if the instruments are actually…