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Some finite-sample results on the Hausman test

Author

Listed:
  • Hahn, Jinyong
  • Liao, Zhipeng
  • Liu, Nan
  • Sheng, Shuyang

Abstract

This paper shows the endogeneity test in linear instrumental variable models using the control function approach resembles the Hausman test. Test statistics used in these tests can be numerically ranked, revealing their relative power properties in finite samples.

Suggested Citation

  • Hahn, Jinyong & Liao, Zhipeng & Liu, Nan & Sheng, Shuyang, 2024. "Some finite-sample results on the Hausman test," Economics Letters, Elsevier, vol. 238(C).
    • Handle: RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524002040
    DOI: 10.1016/j.econlet.2024.111721
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    References listed on IDEAS

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    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LP, vol. 3(1), pages 1-31, March.
    2. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
    4. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
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    Cited by:

    1. Modan Yan & Haiyun Liu, 2024. "The Impact of Digital Trade Barriers on Technological Innovation Efficiency and Sustainable Development," Sustainability, MDPI, vol. 16(12), pages 1-19, June.

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    More about this item

    Keywords

    Control function; Endogeneity; Hausman test; Specification test;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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