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The Hausman pretest estimator

Author Info

Listed author(s):
  • Chmelarova, Viera
  • Hill, R. Carter

Abstract

In a Monte Carlo experiment we show that using a small probability of Type I error may lead to reduced pretest estimator MSE when a Hausman pretest is used to choose between least squares and instrumental variables estimators.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00153-9
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 108 (2010)
Issue (Month): 1 (July)
Pages: 96-99

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Handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:96-99
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

Keywords: Pretest estimator Hausman test Endogeneity;

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  1. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-750, July.
  2. Wu, De-Min, 1974. "Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results," Econometrica, Econometric Society, vol. 42(3), pages 529-546, May.
  3. Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
  4. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
  5. Wong, Ka-fu, 1997. "Effects on inference of pretesting the exogeneity of a regressor," Economics Letters, Elsevier, vol. 56(3), pages 267-271, November.
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Cited by:

  1. Doko Tchatoka, Firmin Sabro, 2012. "Specification Tests with Weak and Invalid Instruments," MPRA Paper 40185, University Library of Munich, Germany.
  2. Firmin Doko Tchatoka & Jean‐Marie Dufour, 2014. "Identification‐robust inference for endogeneity parameters in linear structural models," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 165-187, 02.
  3. Tae-Hwan Kim & Christophe Muller, 2017. "A Robust Test of Exogeneity Based on Quantile Regressions," AMSE Working Papers 1716, Aix-Marseille School of Economics, Marseille, France.
  4. Kiviet, Jan F. & Pleus, Milan, 2017. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Econometrics and Statistics, Elsevier, vol. 2(C), pages 1-21.
  5. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory," School of Economics Working Papers 2016-01, University of Adelaide, School of Economics.
  6. Firmin Doko Tchatoka & Jean-Marie Dufour, 2017. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory," School of Economics Working Papers 2017-01, University of Adelaide, School of Economics.
  7. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
  8. Wang, Yun & Zhang, Yonghui & Zhou, Qiankun, 2016. "A Stein-like estimator for linear panel data models," Economics Letters, Elsevier, vol. 141(C), pages 156-161.

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