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A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results

Author

Listed:
  • Dikaios Tserkezos

    () (Department of Economics, University of Crete, Greece)

  • Konstantinos Tsagarakis

Abstract

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Suggested Citation

  • Dikaios Tserkezos & Konstantinos Tsagarakis, 2008. "A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results," Working Papers 0821, University of Crete, Department of Economics.
  • Handle: RePEc:crt:wpaper:0821
    as

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    File URL: http://economics.soc.uoc.gr/wpa/docs/0821.pdf
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    References listed on IDEAS

    as
    1. Dagenais, Marcel G., 1976. "Incomplete observations and simultaneous-equations models," Journal of Econometrics, Elsevier, vol. 4(3), pages 231-241, August.
    2. Sargan, J D & Drettakis, E G, 1974. "Missing Data in an Autoregressive Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 39-58, February.
    3. E. G. Drettakis, 1973. "Missing Data in Econometric Estimation," Review of Economic Studies, Oxford University Press, vol. 40(4), pages 537-552.
    4. Dimitris Georgoutsos & George Kouretas & Dikaios Tserkezos, "undated". "Temporal Aggregation In Structural Var Models," Working Papers 9505, University of Crete, Department of Economics.
    5. Gilbert, Christopher L., 1977. "Regression using mixed annual and quarterly data," Journal of Econometrics, Elsevier, vol. 5(2), pages 221-239, March.
    6. Oguchi, Noriyoshi & Fukuchi, Takao, 1990. "On Temporal Aggregation of Linear Dynamic Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(1), pages 187-193, February.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Hausman (1978) simultaneity test; structural econometric models; FIML; missing data; simulation;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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