Specification tests and tests for overidentifying restrictions in panel data models with selection
AbstractStandard 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 InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 115 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Panel data; Sample selection; Specification test; Overidentifying restrictions;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Please 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.:
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Anastasia Semykina & Jeffrey M. Woodridge, 2010.
"Estimating Panel Data Models in the Presence of Endogeneity and Selection,"
wp2010_10_01, Department of Economics, Florida State University.
- Semykina, Anastasia & Wooldridge, Jeffrey M., 2010. "Estimating panel data models in the presence of endogeneity and selection," Journal of Econometrics, Elsevier, vol. 157(2), pages 375-380, August.
- Hausman, Jerry A, 1978.
"Specification Tests in Econometrics,"
Econometric Society, vol. 46(6), pages 1251-71, November.
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