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Least Squares Theory and the Hausman Specification Test

Author

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  • Gordon Fisher
  • Richard J. Smith

Abstract

The geometry of least squares is exploited to develop an exact test of the Hausman (1978) type of a linear hypothesis. This leads to necessary and sufficient conditions for the equivalence of Hausman and classical tests. The geometrical theory is then extended to the general problem of specification testing, revealing new perspectives and a synthesis of a wide range of existing results.

Suggested Citation

  • Gordon Fisher & Richard J. Smith, 1985. "Least Squares Theory and the Hausman Specification Test," Working Paper 641, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:641
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    Cited by:

    1. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.

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