Widely-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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Article provided by Taylor and Francis Journals in its journal Applied Economics.
Volume (Year): 36 (2004) Issue (Month): 21 (December) Pages: 2373-2376 Download reference. The following formats are available: HTML
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