A Remark on Hausman's Specification Test

DOI10.2307/1912612zbMATH Open0523.62095OpenAlexW2072493933MaRDI QIDQ3673916FDOQ3673916

Authors Alberto Holly 

Publication date 1982

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912612

zbMATH Keywords

asymptotic powerHausman specification testmaximum likelihood approach

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cited in

(39)

• A generalized test for perfect aggregation
• A Hausman test for the presence of market microstructure noise in high frequency data
• Generalized mixed estimator for nonlinear models: a maximum likelihood approach
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Specification testing for regression models with dependent data
• Asymptotic risk comparisions of restricted and unrestricted maximum likelihood estimators
• On a simultaneous equations pre-test estimator
• Robust inference with GMM estimators
• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations
• Algebraic equivalences among Wald, LM and Hausman's tests in the linear regression model
• Generalized inverses and asymptotic properties of Wald tests
• Limited information estimation and testing subject to linear constraints
• Distributional specification tests against semiparametric alternatives
• Stochastically weighted average conditional moment tests of functional form
• Testing omitted variables in VARs
• Poorly Measured Confounders are More Useful on the Left than on the Right
• On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
• Regression-based specification tests for the multinomial logit model
• Generalized method of moments specification testing
• A remark on a generalized specification test
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• Equivalence properties of the Hausman statistic based on a generalized inverse
• A unified approach to estimation and orthogonality tests in linear single-equation econometric models
• Testing for autocorrelation in the presence of lagged dependent variables
• Testing slope homogeneity in large panels
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Specification testing in panel data with instrumental variables
• Misspecification tests and their uses in econometrics
• A note on specification tests for the multinomial logit model
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Testing nested or non-nested hypotheses
• Hausman tests for autocorrelation in the presence of lagged dependent variables. Some further results
• Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”
• Limited information estimators and exogeneity tests for simultaneous probit models
• Some useful equivalence properties of Hausman's test
• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change

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