Modified Hausman tests for inefficient estimators
AbstractWidely-used estimators such as the generalized method of moments (GMM) and quasi-maximum likelihood (QML) are not efficient in general. This study shows how the Hausman specification test may easily be corrected to be used with inefficient estimators. It introduces a related test that has better power, and it points out the relationship to the GMM criterion test of specification of overidentified models. A brief simulation illustrates the results.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 36 (2004)
Issue (Month): 21 ()
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- Burnside, Craig & Eichenbaum, Martin S, 1996. "Small-Sample Properties of GMM-Based Wald Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 294-308, July.
- Michael Creel & Montserrat Farell Ferrer, 2006. "The black-white test score gap widens with age?," UFAE and IAE Working Papers 670.06, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Kevin E. Staub, 2009. "Simple tests for exogeneity of a binary explanatory variable in count data regression models," Working Papers 0904, University of Zurich, Socioeconomic Institute.
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