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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.

Suggested Citation

  • Semykina, Anastasia, 2012. "Specification tests and tests for overidentifying restrictions in panel data models with selection," Economics Letters, Elsevier, vol. 115(1), pages 53-55.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:1:p:53-55
    DOI: 10.1016/j.econlet.2011.11.019
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    References listed on IDEAS

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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 1029-1054, July.
    2. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. 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.
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    Cited by:

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    2. Manuel Flores & Melchor Fernández & Yolanda Pena-Boquete, 2020. "The impact of health on wages: evidence from Europe before and during the Great Recession," Oxford Economic Papers, Oxford University Press, vol. 72(2), pages 319-346.

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    More about this item

    Keywords

    Panel data; Sample selection; Specification test; Overidentifying restrictions;
    All these keywords.

    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

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