Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory

Firmin Doko Tchatoka, Jean-Marie Dufour

We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We co…