  We provide a Copula-based approach to test the exogeneity of instrumental
variables in linear regression models. We show that the exogeneity of
instrumental variables is equivalent to the exogeneity of their standard normal
transformations with the same CDF value. Then, we establish a Wald test for the
exogeneity of the instrumental variables. We demonstrate the performance of our
test using simulation studies. Our simulations show that if the instruments are
actually endogenous, our test rejects the exogeneity hypothesis approximately
93% of the time at the 5% significance level. Conversely, when instruments are
truly exogenous, it dismisses the exogeneity assumption less than 30% of the
time on average for data with 200 observations and less than 2% of the time for
data with 1,000 observations. Our results demonstrate our test's effectiveness,
offering significant value to applied econometricians.
