A Misuse of Specification Tests
Papers from arXiv.org
Empirical researchers often perform model specification tests, such as the Hausman test and the overidentifying restrictions test, to confirm the validity of estimators rather than the validity of models. This paper examines the effectiveness of specification pretests in finding invalid estimators. We study the local asymptotic properties of test statistics and estimators and show that locally unbiased specification tests cannot determine whether asymptotically efficient estimators are asymptotically biased. The main message of the paper is that correct specification and valid estimation are different issues. Correct specification is neither necessary nor sufficient for asymptotically unbiased estimation under local overidentification.
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/2211.11915 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.11915
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().