Necessary and sufficient conditions for Identlflability with linear coefficient and covarlance restrictions are developed. In practical terms, covarlance restrictions aid identification if and only if they imply either that (1) a set of endogenous variables is predetermined in a particular equation (generalizing the notion of recursiveness) or (11) an identifiable residual is predetermined in a...

Exogeneity testing is studied in the presence of outliers in response variables. Robust tests based on least absolute deviations (LAD) and M estimators are proposed and illustrated with an application to Mroz (1987) data. Our simulation results show that the proposed robust tests outperform the traditional Hausman test for exogeneity in terms of empirical power in the presence of outliers in re...

In this paper, we examine the usefulness of the modified OLS (MOLS) estimator by Wansbeek and Knaap (1999) from two angles: inference and testing. First, we compare the MOLS estimator with Bun and Carree’s (2005) estimator and the GMM estimator in terms of accuracy of inference. Second, we propose to use the Hausman test based on these three estimators to test the null of no individual effects....