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Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results

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  • Wu, De-Min
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    Abstract

    RegWuTest performs a Wu (or Durbin-Wu-Hausman) specification test on a regression just estimated by instrumental variables. Because it works off the last regression, there are no parameters. Wu(1973), "Alternative tests of independence between stochastic regressors and disturbances", Econometrica vol 42, 529-546.

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    Bibliographic Info

    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 42 (1974)
    Issue (Month): 3 (May)
    Pages: 529-46

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    Handle: RePEc:ecm:emetrp:v:42:y:1974:i:3:p:529-46

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    1. Bischoff, Oliver, 2012. "Explaining regional variation in equilibrium real estate prices and income," Journal of Housing Economics, Elsevier, vol. 21(1), pages 1-15.
    2. Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, School of Economics and Finance, revised 26 Jun 2012.
    3. Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth centre Working Paper Series 1208, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
    4. Firmin Doko Tchatoka & Jean-Marie Dufour, 2014. "Identification-robust inference for endogeneity parameters in linear structural models," CIRANO Working Papers 2014s-17, CIRANO.
    5. Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," Working Papers 16875, University of Tasmania, School of Economics and Finance, revised 05 Aug 2013.
    6. Doko Tchatoka, Firmin, 2012. "Testing for partial exogeneity with weak identification," Working Papers 14565, University of Tasmania, School of Economics and Finance, revised 31 May 2012.
    7. Chmelarova, Viera & Hill, R. Carter, 2010. "The Hausman pretest estimator," Economics Letters, Elsevier, vol. 108(1), pages 96-99, July.
    8. Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
    9. Irena Jindrichovska & Erginbay Ugurlu & Dana Kubickova, 2013. "Changes in Capital Structure of Czech SMEs: A Dynamic Panel Data Approach," Ekonomika a Management, University of Economics, Prague, vol. 2013(3), pages 6-26.
    10. Ronald G. Ehrenberg & Daniel R. Sherman, 1987. "Employment While in College, Academic Achievement, and Postcollege Outcomes: A Summary of Results," Journal of Human Resources, University of Wisconsin Press, vol. 22(1), pages 1-23.
    11. Céline Guimas, 2012. "Effect of organic contract farming on labor demand. A study case in the Western Uganda," Post-Print dumas-00802135, HAL.
    12. Liu, Wenchien & Miu, Peter & Chang, Yuanchen & Ozdemir, Bogie, 2012. "Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 123-150.
    13. Joseph DeSalvo & Sisinnio Concas, 2013. "The Effect of Density and Trip-Chaining on the Interaction between Urban Form and Transit Demand," Working Papers 0413, University of South Florida, Department of Economics.
    14. Düwel, Cornelia, 2013. "Repo funding and internal capital markets in the financial crisis," Discussion Papers 16/2013, Deutsche Bundesbank, Research Centre.
    15. Nakamura, Alice & Nakamura, Masao, 1998. "Model specification and endogeneity," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 213-237.

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