The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors

DOI10.1016/0165-1765(85)90132-6zbMATH Open1273.62267OpenAlexW1970096479MaRDI QIDQ375033FDOQ375033

Authors: Hae Shin Hwang 

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90132-6

Recommendations

• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• Algebraic equivalences among Wald, LM and Hausman's tests in the linear regression model
• On tests of independence between stochastic regressors and disturbances
• Some useful equivalence properties of Hausman's test
• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Specification Tests in Econometrics
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• Asymptotic Relative Efficiency Analysis of Certain Test of Independence in Structural Systems
• An Independence Test and Conditional Unbiased Predictions in the Context of Simultaneous Equation Systems

Cited In (14)

• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Tests of overidentification and predeterminedness in simultaneous equation models
• Asymptotic robustness of tests of overidentification and predeterminedness
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model
• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• On tests of independence between stochastic regressors and disturbances
• A Note on Likelihood Ratio Tests for the Independence between a Subset of Stochastic Regressors and Disturbances
• A test of the independence of subsets of instrumental variables and regressors
• Algebraic equivalences among Wald, LM and Hausman's tests in the linear regression model
• Some useful equivalence properties of Hausman's test
• The Lagrangean multiplier test for a model with two selectivity criteria
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• A note on the equivalence of specification tests in the two-factor multivariate variance components model

This page was built for publication: The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375033)