A Robust Test for Instrument Exogeneity in Ordinal Response Models with Endogenous Regressors: A CF-GMM-Bootstrap Approach

A Robust Test for Instrument Exogeneity in Ordinal Response Models with Endogenous Regressors: A CF-GMM-Bootstrap Approach | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Method Article A Robust Test for Instrument Exogeneity in Ordinal Response Models with Endogenous Regressors: A CF-GMM-Bootstrap Approach Shunxin Yao This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-7568775/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract Testing whether instrumental variables (IV) are truly exogenous is crucial for reliable causal inference, especially when dealing with discrete ordered outcomes (e.g., survey ratings) and an endogenous explanatory variable. Existing tests often perform poorly in this complex setting. We develop a robust new test that combines Control Function (CF) and Two-Stage Residual Inclusion (2SRI) to correct for endogeneity, uses Generalized Method of Moments (GMM) to construct the test statistic, and employs Bootstrap to ensure accurate results in real-world sample sizes. Simulations show our method is reliable, and we provide easy-to-use software for researchers. JEL Classification: C12, C26, C35 Econometrics instrumental variables endogeneity ordered response models hypothesis testing bootstrap Full Text Additional Declarations The authors declare no competing interests. Supplementary Files Rcode.r Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. 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