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Specification tests and tests for overidentifying restrictions in panel data models with selection

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  • Semykina, Anastasia

Abstract

Standard tests are generally not applicable in panel data models with selection. The paper shows how the Hausman specification test and the Sargan–Hansen test for overidentifying restrictions can be generalized to panel data models with unobserved heterogeneity and sample selection.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 1 ()
Pages: 53-55

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:1:p:53-55

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Panel data; Sample selection; Specification test; Overidentifying restrictions;

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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. Anastasia Semykina & Jeffrey M. Woodridge, 2010. "Estimating Panel Data Models in the Presence of Endogeneity and Selection," Working Papers wp2010_10_01, Department of Economics, Florida State University.
  3. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
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