Modified Hausman tests for inefficient estimators

Michael Creel ()

Applied Economics, 2004, vol. 36, issue 21, pages 2373-2376

Abstract: Widely-used estimators such as the generalized method of moments (GMM) and quasi-maximum likelihood (QML) are not efficient in general. This study shows how the Hausman specification test may easily be corrected to be used with inefficient estimators. It introduces a related test that has better power, and it points out the relationship to the GMM criterion test of specification of overidentified models. A brief simulation illustrates the results.

Date: 2004
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