Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results
AbstractRegWuTest 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 InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 42 (1974)
Issue (Month): 3 (May)
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- Tom Doan, . "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.
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