A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results
This short paper demonstrates the effects of using missing data on the power of the well-known Hausman (1978) test for simultaneity in structural econometric models. This test is a reliable test and is widely used for testing simultaneity in linear and nonlinear structural models. Using Monte Carlo techniques, we find that the existence of missing data could affect seriously the power of the test. As their number is getting larger, the probability of rejecting simultaneity with Hausman test is increasing significantly especially in small samples. A Full Information Maximum Likelihood Missing Data correction technique is used to overcome the problem and then we find out that that the test is more effective when we retrieve these data and include them in the sample.
|Date of creation:||03 Jun 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Gallos - Rethymno 74100|
Phone: +30 831 77405
Fax: +30 831 77406
Web page: http://economics.soc.uoc.gr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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 187-93, February.
- 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.
- E. G. Drettakis, 1973. "Missing Data in Econometric Estimation," Review of Economic Studies, Oxford University Press, vol. 40(4), pages 537-552.
- Dagenais, Marcel G., 1976. "Incomplete observations and simultaneous-equations models," Journal of Econometrics, Elsevier, vol. 4(3), pages 231-241, August.
- Dimitris Georgoutsos & George Kouretas & Dikaios Tserkezos, . "Temporal Aggregation In Structural Var Models," Working Papers 9505, University of Crete, Department of Economics.
- Gilbert, Christopher L., 1977. "Regression using mixed annual and quarterly data," Journal of Econometrics, Elsevier, vol. 5(2), pages 221-239, March.
When requesting a correction, please mention this item's handle: RePEc:crt:wpaper:0821. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kostis Pigounakis)
If references are entirely missing, you can add them using this form.