Least Squares Theory and the Hausman Specification Test
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.
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|Date of creation:||1985|
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