Econometrica, Vol. 83, No. 4 (July, 2015), 1581–1600
A Test of Endogeneity without Instrumental Variables in Models with Bunching
This paper presents a test of the exogeneity of a single explanatory variable in a multivariate model. It does not require exogeneity of the other regressors or the existence of instrumental variables. The fundamental maintained assumption is that the model be continuous in the explanatory variable of interest. This test has power when unobservable confounders are discontinuous with respect to the explanatory variable of interest, and it is particularly suitable for applications in which that variable has bunching points.