Increasing the power of specification tests

DOI10.1016/J.JECONOM.2018.12.012MaRDI QIDQ2000857zbMATH OpenOpenAlexWikidataFDO

Authors Tiemen Woutersen, Jerry Hausman

Publication date 1 July 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/189773

zbMATH Keywords

Hausman testspecification testpower of tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Hahn-Hausman test as a specification test
• Tests of specification in econometrics
• Generalized method of moments specification testing
• Practical steps to improve specification testing
• Specification testing in panel data with instrumental variables

Cites work

• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Dynamic time series binary choice
• Econometric analysis of cross section and panel data.
• Errors in Variables
• Identification of Causal Effects Using Instrumental Variables
• Instrumental Variables Regression with Weak Instruments
• Large Sample Properties of Generalized Method of Moments Estimators
• Microeconometrics
• Specification Tests in Econometrics
• Testing Statistical Hypotheses
• The Diffusion of Hausman's Econometric Ideas
• The Estimation of Economic Relationships using Instrumental Variables
• The Hausman Test, and Some Alternatives, with Heteroskedastic Data
• The Hausman test and weak instruments
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test

Cited in

(5)

• Annals issue in honor of Jerry A. Hausman. Editors' introduction
• Power in Econometric Applications
• An alternative to confidence intervals constructed after a Hausman pretest in panel data
• A remark on a generalized specification test
• Practical steps to improve specification testing

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