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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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

Cited in

(14)

• A note on the equivalence of specification tests in the two-factor multivariate variance components model
• Asymptotic robustness of tests of overidentification and predeterminedness
• Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model
• A Note on Likelihood Ratio Tests for the Independence between a Subset of Stochastic Regressors and Disturbances
• The Lagrangean multiplier test for a model with two selectivity criteria
• 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
• 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
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• On tests of independence between stochastic regressors and disturbances
• Some useful equivalence properties of Hausman's test

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