Testing for Bias from Censored Regressors
 

“Testing for Bias from Censored Regressors” with Tom Stoker


We derive tests for the presence of bias from using censored regressors in linear regression analysis. The test follows from the principles of (Hausman) specification tests, and is applicable in situations of exogenous censoring. We apply the test in two substantive empirical applications; the estimation of the effects of financial wealth on household consumption, and the estimation of the impact of foreign denominated debt on firm investment decisions. In each application we find strong rejection of the absence of censoring bias.


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