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Some Finite-Sample Results on the Hausman Test

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

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.

Suggested Citation

  • Jinyong Hahn & Zhipeng Liao & Nan Liu & Shuyang Sheng, 2023. "Some Finite-Sample Results on the Hausman Test," Papers 2312.10558, arXiv.org.
    • Handle: RePEc:arx:papers:2312.10558
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    References listed on IDEAS

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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    2. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
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