The maximum number of parameters for the Hausman test when the estimators are from different sets of equations

Kazumitsu Nawata and Michael McAleer

Economics Letters, 2014, vol. 123, issue 3, 291-294

Abstract: Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear regression model, a test for the Box–Cox transformation, and a test for sample selection bias.

Keywords: Hausman test; Specification test; Number of parameters; Instrumental variable (IV) model; Box–Cox model; Sample selection bias (search for similar items in EconPapers)
JEL-codes: C12 C3 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations (2014)
Working Paper: The maximum Number of parameters for the Hausman Test When the Estimators are from Different Sets of Equations (2013)
Working Paper: The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations (2013)
Working Paper: The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:291-294

DOI: 10.1016/j.econlet.2014.03.005

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