The Hausman pretest estimator
Abstract
In a Monte Carlo experiment we show that using a small probability of Type I error may lead to reduced pretest estimator MSE when a Hausman pretest is used to choose between least squares and instrumental variables estimators.Download Info
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Bibliographic Info
Article provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 1 (July)
Pages: 96-99
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Web page: http://www.elsevier.com/locate/ecolet
Related research
Keywords: Pretest estimator Hausman test Endogeneity;References
References listed on IDEASPlease report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July.
- Wong, Ka-fu, 1997. "Effects on inference of pretesting the exogeneity of a regressor," Economics Letters, Elsevier, vol. 56(3), pages 267-271, November.
- Wu, De-Min, 1974.
"Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results,"
Econometrica,
Econometric Society, vol. 42(3), pages 529-46, May.
- 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.
- Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
- Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- 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.
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