The Maximum Number of Parameters for The Hausman Test When the Estimators are from Different Sets of Equations

K Nawata, Michael McAleer

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

Abstract

Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear regression model, a test for the Box-Cox transformation, and a test for sample selection bias.
Original languageEnglish
Pages (from-to)291-294
Number of pages1
JournalEconomics Letters
Volume123
Issue number3
DOIs
Publication statusPublished - 2014

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