A Correction/Update to “When Is It Justifiable to Ignore Variable Endogeneity In A Regression Model?â€

This note corrects an error -- pointed out in Kiviet (2016) -- in the Ashley and Parmeter (2015a) derivation of the asymptotic distribution of the OLS parameter estimator in the usual k-variate multiple regression model, but where some or all of the explanatory variables are endogenous. This sampling distribution lies at the heart of the Ashley and Parmeter (2015a) sensitivity analysis of a hypothesis test rejection p-value with respect to potential endogeneity in the explanatory variables in such regression models, so this correction is of practical importance. We also discuss the settings in which Kiviet's way of displaying univariate sensitivity analysis results is an improvement (and in what settings it is not), and we provide new analytic results for our sensitivity analysis in an important special case.