The impact of a Hausman pretest on the asymptotic size of a hypothesis test

DOI10.1017/S0266466609100026MaRDI QIDQ3557545zbMATH OpenFDO

Authors Patrik Guggenberger

Publication date 23 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466609100026

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Applications of statistics to economics (62P20)

Recommendations

• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• The effect of pseudo-exogenous instrumental variables on Hausman test
• The Hausman test and weak instruments
• Testing Instrument Admissibility: Some Refined Asymptotic Results

Cites work

• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Econometric analysis of cross section and panel data.
• Fixed effects, random effects or Hausman-Taylor: a pretest estimator
• scientific article; zbMATH DE number 3938400 (Why is no real title available?)
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Hybrid and Size-Corrected Subsampling Methods
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Panel Data and Unobservable Individual Effects
• Specification Tests in Econometrics
• The Hausman test and weak instruments
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES

Cited in

(17)

• Increasing the power of specification tests
• Uniformity and the delta method
• Bonferroni-based size-correction for nonstandard testing problems
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• Simple tests for exogeneity of a binary explanatory variable in count data regression models
• On nonparametric inference in the regression discontinuity design
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• The effect of pseudo-exogenous instrumental variables on Hausman test
• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Stein-like 2SLS estimator
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• Some children left behind: variation in the effects of an educational intervention
• Difference-in-differences with compositional changes
• The Hausman test and weak instruments
• Testing endogeneity with high dimensional covariates
• Testing regression coefficients after model selection through sign restrictions

This page was built for publication: The impact of a Hausman pretest on the asymptotic size of a hypothesis test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3557545)