The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 2015, Volume 83, Issue 4
https://doi.org/10.3982/ECTA11231
p. 1581-1600
C. Caetano
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.
This supplement provides details of the implementation of the test statistic described in Section 3.1 in the manuscript. It also develops the theorems that describe the test statistic's asymptotic behavior. Finally, it presents a Monte Carlo study of the small sample behavior of the test statistic using real data (the same dataset used in the paper's Section 3).
This zip file contains the replication files for the manuscript.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
