Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Contents:

Author Info

Abstract

Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative hypotheses. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Moreover, in calculating the Hausman test there is a maximum number of parameters which is the number of different equations that are used to obtain the two estimators. Three illustrative examples are used, namely an exogeneity test for the linear regression model, a test for the Box-Cox transformation, and a test for sample selection bias.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1402.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 14/02.

as in new window
Length: 14 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:cbt:econwp:14/02

Contact details of provider:
Postal: Private Bag 4800, Christchurch, New Zealand
Phone: 64 3 369 3123 (Administrator)
Fax: 64 3 364 2635
Web page: http://www.econ.canterbury.ac.nz
More information through EDIRC

Related research

Keywords: Hausman test; specification test; number of parameters; instrumental variable (IV) model; Box-Cox model; Sample selection bias;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  2. Hausman, Jerry A. & Taylor, William E., 1981. "A generalized specification test," Economics Letters, Elsevier, vol. 8(3), pages 239-245.
  3. Holly, Alberto, 1982. "A Remark on Hausman's Specification Test," Econometrica, Econometric Society, vol. 50(3), pages 749-59, May.
  4. Smith, Richard J., 1985. "Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation," Economics Letters, Elsevier, vol. 17(1-2), pages 87-90.
  5. Smith, Richard J, 1984. "A Note on Likelihood Ratio Tests for the Independence between a Subset of Stochastic Regressors and Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 263-69, February.
  6. Kazumitsu Nawata, 2013. "A new estimator of the Box-Cox transformation model using moment conditions," Economics Bulletin, AccessEcon, vol. 33(3), pages 2287-2297.
  7. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  8. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July.
  9. Smith, Richard, 1983. "On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance," Economics Letters, Elsevier, vol. 11(4), pages 357-364.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cbt:econwp:14/02. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.