Some Finite-Sample Results on the Hausman Test

Jinyong Hahn, Zhipeng Liao, Nan Liu and Shuyang Sheng

Papers from arXiv.org

Abstract: This paper shows that the endogeneity test using the control function approach in linear instrumental variable models is a variant of the Hausman test. Moreover, we find that the test statistics used in these tests can be numerically ordered, indicating their relative power properties in finite samples.

Date: 2023-12
New Economics Papers: this item is included in nep-ecm
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Journal Article: Some finite-sample results on the Hausman test (2024)
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