Specification tests in econometrics

Jerry Hausman

Applied Econometrics, 2015, vol. 38, issue 2, 112-134

Abstract: Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the simultaneous equation model are presented. An empirical model provides evidence that unobserved individual factors are present which are not orthogonal to the included right-hand-side variable in a common econometric specification of an individual wage equation.

Keywords: specification tests; Hausman test; instrumental variables; panel data; simultaneous equations (search for similar items in EconPapers)
JEL-codes: B23 C01 C18 C26 C50 C52 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Specification Tests in Econometrics (1978)
Working Paper: Specification Tests in Econometrics (1976)
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