The Hausman pretest estimator
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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References listed on IDEAS
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- Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July.
- Wong, Ka-fu, 1997. "Effects on inference of pretesting the exogeneity of a regressor," Economics Letters, Elsevier, vol. 56(3), pages 267-271, November.
- Wu, De-Min, 1974.
"Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results,"
Econometric Society, vol. 42(3), pages 529-46, May.
- Tom Doan, . "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.
- Hausman, Jerry A, 1978.
"Specification Tests in Econometrics,"
Econometric Society, vol. 46(6), pages 1251-71, November.
- Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
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