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In a regression model are there tests to detect the possibility of endogeneity in the model?

For example, we have the White's test for heteroskedasticity. Is there something for endogeneity?

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I discussed a test for endogeneity in an earlier post: What test is this for endogenous variables?

In order to test for endogeneity, you will need to have at least one instrument for your endogenous variable. The instrument usually comes from theory or from previous literature.

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By googling you can easily find for example this material:

http://fsg.afre.msu.edu/zambia/IAPRI_QACB_S11_Testing_&_controlling_for_endogeneity_IV_2SLS_CF_v2.pptx.pdf

Problem is of course that one must first specify a structural model, in which context this endogeneity is tested.

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Yes there is. Its called the Hausman's test for endogeneity. You can also use the 2 stage least square model.

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  • $\begingroup$ This answer is too brief. You should elaborate. $\endgroup$ Commented Jun 11, 2018 at 20:21

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