A non-parametric test of exogeneity

Richard Blundell*, Joel L. Horowitz

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

30 Scopus citations


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 languageEnglish (US)
Pages (from-to)1035-1058
Number of pages24
JournalReview of Economic Studies
Issue number4
StatePublished - Oct 2007

ASJC Scopus subject areas

  • Economics and Econometrics


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