The Hausman pretest estimator

Viera Chmelarova and Carter Hill

Economics Letters, 2010, vol. 108, issue 1, 96-99

Abstract: In a Monte Carlo experiment we show that using a small probability of Type I error may lead to reduced pretest estimator MSE when a Hausman pretest is used to choose between least squares and instrumental variables estimators.

Keywords: Pretest; estimator; Hausman; test; Endogeneity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (13)

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