The maximum Number of parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Kazumitsu Nawata and Michael McAleer

No EI2013-35, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: __Abstract__ Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative hypotheses. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Moreover, in calculating the Hausman test there is a maximum number of parameters which is the number of different equations that are used to obtain the two estimators. 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: C2 C5 I18 (search for similar items in EconPapers)
Date: 2013-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repub.eur.nl/pub/50213/EI2013-35-1-.pdf (application/pdf)

Related works:
Journal Article: 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 (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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:50213

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).