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REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

RegWuTest performs a Wu (or Durbin-Wu-Hausman) specification test on a regression just estimated by instrumental variables. Because it works off the last regression, there are no parameters. Wu(1973), "Alternative tests of independence between stochastic regressors and disturbances", Econometrica vol 42, 529-546.

Suggested Citation

  • Tom Doan, "undated". "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00185
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/regwutest.src
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    Keywords

    Wu test; Hausman test; RATS;
    All these keywords.

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