Specification tests and tests for overidentifying restrictions in panel data models with selection
Standard tests are generally not applicable in panel data models with selection. The paper shows how the Hausman specification test and the Sargan–Hansen test for overidentifying restrictions can be generalized to panel data models with unobserved heterogeneity and sample selection.
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References listed on IDEAS
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- Anastasia Semykina & Jeffrey M. Woodridge, 2010.
"Estimating Panel Data Models in the Presence of Endogeneity and Selection,"
wp2010_10_01, Department of Economics, Florida State University.
- Semykina, Anastasia & Wooldridge, Jeffrey M., 2010. "Estimating panel data models in the presence of endogeneity and selection," Journal of Econometrics, Elsevier, vol. 157(2), pages 375-380, August.
- Hausman, Jerry, 2015.
"Specification tests in econometrics,"
Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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