The Hausman pretest estimator
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Pretest estimator Hausman test Endogeneity;
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"Specification Tests in Econometrics,"
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- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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