Alternative Tests of Independence between Stochastic Regressors and Disturbances

DOI10.2307/1914093zbMATH Open0301.62032OpenAlexW2086652341WikidataQ80618589 ScholiaQ80618589MaRDI QIDQ4055017FDOQ4055017

Authors: De-Min Wu 

Publication date: 1973

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1914093

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Cited In (45)

• CONDITIONING IN DYNAMIC MODELS
• The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
• A combined estimator in the simple errors-in-variables model
• Testing for weak identification in possibly nonlinear models
• A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology
• A two-stage bridge estimator for regression models with endogeneity based on control function method
• The determinants of cumulative endogeneity bias in multivariate analysis
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Increasing the power of specification tests
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Statistical inference in non-nested econometric models
• Tests of overidentification and predeterminedness in simultaneous equation models
• Asymptotic robustness of tests of overidentification and predeterminedness
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Robust estimation for structural spurious regressions and a Hausman-type cointegration test
• Regression-based causal analysis from the potential outcomes perspective
• Lagrance-multiplier tersts for weak exogeneity: a synthesis
• Instrumental variables estimation in errors-in-variables models when instruments are correlated with errors
• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• Violent crime and incentives in the long-run: evidence from England and Wales
• Assessing the business values of information technology and e-commerce independently and jointly
• Instrumental variables in structural equation modelling: an application on the impact of labour factors on health and standard of livings
• On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem
• On tests of independence between stochastic regressors and disturbances
• A unified approach to estimation and orthogonality tests in linear single-equation econometric models
• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change
• Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
• Model specification and endogeneity
• Some aspects of testing non-nested hypotheses
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• A diagnostic for bias in linear mixed model estimators induced by dependence between the random effects and the corresponding model matrix
• Higher moment estimators for linear regression models with errors in the variables
• On a generalization of the test of endogeneity in a two stage least squares estimation
• Tests of additional conditional moment restrictions
• Testing endogeneity with high dimensional covariates
• Exogeneity tests in a truncated structural equation
• Detecting and testing causality in linear econometric models
• Markov-switching models with endogenous explanatory variables
• A remark on a generalized specification test
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
• Structural time series modeling: A Bayesian approach
• A general approach to Lagrange multiplier model diagnostics
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*

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