## Abstract

This paper presents a test for exogeneity of explanatory variables that minimizes the need for auxiliary assumptions that are not required by the definition of exogeneity. It concerns inference about a non-parametric function g that is identified by a conditional moment restriction involving instrumental variables (IV). A test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X is developed that is not subject to the ill-posed inverse problem of non-parametric IV estimation. The test is consistent whenever g differs from E (Y X) on a set of non-zero probability. The usefulness of this new exogeneity test is displayed through Monte Carlo experiments and an application to estimation of non-parametric consumer expansion paths.

Original language | English (US) |
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Pages (from-to) | 1035-1058 |

Number of pages | 24 |

Journal | Review of Economic Studies |

Volume | 74 |

Issue number | 4 |

DOIs | |

State | Published - Oct 2007 |

## ASJC Scopus subject areas

- Economics and Econometrics